Open AccessSIMULATION 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/quantitative methods in economics
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.