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Article title THE ANALYSE OF THE POSSIBILITY OF USE OF GENETIC ALGORITHMS OPTIMIZATION FOR TRADING OPERATIONS ON THE STOCK EXCHANGE
Authors A.M. Belevtsev, M.A. Druzhinin
Section SECTION II. ALGORITHMS AND SOFTWARE
Month, Year 04, 2014 @en
Index UDC 681.142
DOI
Abstract The development of the exchange trade and its globalization leads to the intensive development of the information technologies and their use in exchange operations. To success in the exchange trading it is necessary to make decisions based on many different factors in short time. The current problem is reduced to the optimization problem of large dimension with a nonlinear objective function and nonlinear constraints. The genetic algorithms of optimization have a complete set of tools for solving this task and have a number of advantages in comparison with the exact methods of optimization of the type of branches and borders. The number of iterations of the genetic algorithm depends on the «quality» of the initial population. The proposed example will show the portfolio of the existing set of securities as a basic decision. The formation of the portfolio is completed at the time the algorithm or the lack of the growth in the value of the target function. When there are two or more decisions with the maximum value of the objective function the decision of a lower degree of risk is selected.

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Keywords Stock market trading; trading operations; nonlinear objective function with nonlinear constraints; genetic algorithms of optimization.
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