Given the pattern-based multi-predictors of the stock price, we study a method of dynamic asset allocation to maximize the trading performance. To optimize the proportion of asset ...
Jangmin O, Jae Won Lee, Jongwoo Lee, Byoung-Tak Zh...
The Portfolio Optimization problem consists of the selection of a group of assets to a long-term fund in order to minimize the risk and maximize the return of the investment. This...
We study a stock trading method based on dynamic bayesian networks to model the dynamics of the trend of stock prices. We design a three level hierarchical hidden Markov model (HHM...
Jangmin O, Jae Won Lee, Sung-Bae Park, Byoung-Tak ...
In this paper we describe a simple model of adaptive agents of different types, represented by Learning Classifier Systems (LCS), which make investment decisions about a risk fre...