SIMULATION OF PARTICLE SWARM OPTIMIZATION FOR INVESTMENTS ON STOCK MARKET | Zendy

Maciej Janowicz | Zendy; Andrzej Zembrzuski | Zendy

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SIMULATION OF PARTICLE SWARM OPTIMIZATION FOR INVESTMENTS ON STOCK MARKET

Author(s) -

Maciej Janowicz,

Andrzej Zembrzuski

Publication year - 2021

Publication title -

metody ilościowe w badaniach ekonomicznych

Language(s) - English

Resource type - Journals

eISSN - 2543-8565

pISSN - 2082-792X

DOI - 10.22630/mibe.2020.21.4.21

Subject(s) - particle swarm optimization , stock market , stock market index , investment strategy , index (typography) , econometrics , economics , business , mathematical optimization , computer science , finance , mathematics , geography , market liquidity , context (archaeology) , archaeology , world wide web

This work reports simulations performed using Particle Swarm Optimization (PSO) as applied to investments on the stock market. About 480 stocks belonging to the S&P500 index have been taken into account. A naive approach has been developed in which one simulation step corresponded to one trading period. As a second ingredient of the investment strategy, the relative strength of an asset has been employed. The results are analyzed with respect to the parameters of PSO.

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