Title :
Applying Interactive Artificial Bee Colony to Construct the Stock Portfolio
Author :
Jui-Fang Chang ; Tsai-Wei Yang ; Pei-Wei Tsai
Author_Institution :
Dept. of Int. Bus., Nat. Kaohsiung Univ. of Appl. Sci., Kaohsiung, Taiwan
Abstract :
In recent years, lots of portfolio analysis methods been proposed one after another. The investors care about how much money they can earn, and the companies need to know how much performance they gain. In this paper, a new stock portfolio construction strategy using Investment Satisfied Capability Index (ISCI) and Interactive Artificial Bee Colony (IABC) is proposed. Two-year daily Return on Investment (ROI) data is used in the experiment to test the performance of our proposed method. The experimental results are compared with the investment result from Taiwan broader market and Taiwan Top 50 Tracker Fund of Taiwan Yuanta Securities. The results are positive.
Keywords :
genetic algorithms; investment; particle swarm optimisation; stock markets; time series; GA; IABC; ISCI; PSO; ROI data; Taiwan Yuanta Securities; genetic algorithms; interactive artificial bee colony; investment satisfied capability index; particle swarm optimization; return on investment; stock portfolio construction strategy; time series models; Companies; Genetic algorithms; Indexes; Investment; Portfolios; Sociology; Statistics; IABC; ISCI; portfolio; stock investment;
Conference_Titel :
Robot, Vision and Signal Processing (RVSP), 2013 Second International Conference on
Conference_Location :
Kitakyushu
Print_ISBN :
978-1-4799-3183-5
DOI :
10.1109/RVSP.2013.36
