Soft computing as a tool to optimize an investment portfolio

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F11%3APU94943" target="_blank" >RIV/00216305:26510/11:PU94943 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Soft computing as a tool to optimize an investment portfolio

Original language description

The paper describes the creation and application of an investment portfolio. Main aim of the paper is to perform statistical analysis of selected financial instruments and to find a connection between the input data. Authors use application Adaptrade from the Adaptrade software company which is based on genetic algorithms basis and is able to process this difficult task in real time. The case analysis is performed for three world currencies - U. S. dollar, Canadian dollar and Swiss franc. Statistical analysis was performed specifically on the currency couple USD: CAD and USD:CHF. The input data consists of time series, which records the progress of prices of the financial instruments with a period of 15 minutes continuously from Monday 00:00 to Friday23:00 for the period 2.1.2009 ? 14.3.2011.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AE - Management, administration and clerical work

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2011

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Intellectual Economics

ISSN

1822-8011

e-ISSN

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Volume of the periodical

5

Issue of the periodical within the volume

3

Country of publishing house

LT - LITHUANIA

Number of pages

11

Pages from-to

359-370

UT code for WoS article

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EID of the result in the Scopus database

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