Trading index mutual funds with evolutionary forecasting

Conference proceedings article

Authors/Editors

CHUKIAT WORASUCHEEP

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Publication Details

Author list: Worasucheep C.

Publisher: Hindawi

Publication year: 2008

Start page: 430

End page: 435

Number of pages: 6

ISBN: 9781424418237

ISSN: 0146-9428

eISSN: 1745-4557

URL: https://www.scopus.com/inward/record.uri?eid=2-s2.0-55749089377&doi=10.1109%2fCEC.2008.4630833&partnerID=40&md5=86ade850912515fdb8cc3ed7f148d1aa

Languages: English-Great Britain (EN-GB)

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Abstract

This paper proposes an intuitive strategy for trading index mutual funds via the prediction of the next-day closing index of a stock market. The prediction model is built from a set of basic technical indicators. The model is optimized with a self-adaptive differential evolution algorithm in which users require no expertise in parameter settings. The proposed strategy is evaluated using Nikkei, FTSE, S&P500, Dow Jones Industrial Average, and NASDAQ indices. The experiment demonstrates that the proposed strategy results in higher returns than those from buy-and-hold strategy, which is generally employed by index mutual funds. ฉ 2008 IEEE.

Keywords