We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of the proposed algorithm. Applying the algorithm to the...

How to allocate resources and select the type of investment is very important . The optimal allocation, especially in the financial markets of countries that are paced growth factor, is very significance. In this research toward optimizing resource allocation, an innovative learning algorithm...

El estudio a continuación se realizó para analizar cuán capaces son los algoritmos genéticos (GA) para predecir el signo del cambio semanal de la acción Intel, acción que forma parte de las 30 del Indice estadounidense Dow Jones. Se utilizaron varios modelos multivariables dinámicos...

This article explores the influence of competitive conditions on the evolutionary fitness of risk preferences, using the professional competition between fund managers as a practical example. To explore how different settings of competition parameters, the exclusion rate and the exclusion...

The well-known SETAR model introduced by Tong belongs to the wide class of TAR models that may be specified in several different ways. Here we propose to consider the delay parameter as endogenous, that is we make it to depend on both the past value and the specific past regime of the series. In...

The selection of optimal portfolios is the central problem of financial investment decisions. Mathematically speaking, portfolio selection refers to the formulation of an objective function that determines the weights of the portfolio invested in each asset as to maximize return and minimize...