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Open Access
Article
Publication date: 11 August 2021

Alberto Antonio Agudelo Aguirre, Néstor Darío Duque Méndez and Ricardo Alfredo Rojas Medina

This study aims to determine whether, by means of the application of genetic algorithms (GA) through the traditional technical analysis (TA) using moving average…

1737

Abstract

Purpose

This study aims to determine whether, by means of the application of genetic algorithms (GA) through the traditional technical analysis (TA) using moving average convergence/divergence (MACD), is possible to achieve higher yields than those that would be obtained using technical analysis investment strategies following a traditional approach (TA) and the buy and hold (B&H) strategy.

Design/methodology/approach

The study was carried out based on the daily price records of the NASDAQ financial asset during 2013–2017. TA approach was carried out under graphical analysis applying the standard MACD. GA approach took place by chromosome encoding, fitness evaluation and genetic operators. Traditional genetic operators (i.e. crossover and mutation) were adopted as based on the chromosome customization and fitness evaluation. The chromosome encoding stage used MACD to represent the genes of each chromosome to encode the parameters of MACD in a chromosome. For each chromosome, buy and sell indexes of the strategy were considered. Fitness evaluation served to defining the evaluation strategy of the chromosomes in the population according to the fitness function using the returns gained in each chromosome.

Findings

The paper provides empirical-theoretical insights about the effectiveness of GA to overcome the investment strategies based on MACD and B&H by achieving 5 and 11% higher returns per year, respectively. GA-based approach was additionally capable of improving the return-to-risk ratio of the investment.

Research limitations/implications

Limitations deal with the fact that the study was carried out on US markets conditions and data which hamper its application in some extend to markets with not as much development.

Practical implications

The findings suggest that not only skilled but also amateur investors may opt for investment strategies based on GA aiming at refining profitable financial signals to their advantage.

Originality/value

This paper looks at machine learning as an up-to-date tool with great potential for increasing effectiveness in profits when applied into TA investment approaches using MACD in well-developed stock markets.

Details

Journal of Economics, Finance and Administrative Science, vol. 26 no. 52
Type: Research Article
ISSN: 2218-0648

Keywords

Content available
Article
Publication date: 26 July 2011

Cengiz Kahraman

1002

Abstract

Details

Journal of Enterprise Information Management, vol. 24 no. 4
Type: Research Article
ISSN: 1741-0398

Content available

Abstract

Details

Kybernetes, vol. 27 no. 8
Type: Research Article
ISSN: 0368-492X

Keywords

Content available
Article
Publication date: 1 September 2004

A.E. Eiben and J.E. Smith

378

Abstract

Details

Assembly Automation, vol. 24 no. 3
Type: Research Article
ISSN: 0144-5154

Keywords

Content available
Article
Publication date: 1 April 1999

Hojjat Adeli

158

Abstract

Details

Kybernetes, vol. 28 no. 3
Type: Research Article
ISSN: 0368-492X

Open Access
Article
Publication date: 2 May 2017

Choo Jun Tan, Ting Yee Lim, Chin Wei Bong and Teik Kooi Liew

The purpose of this paper is to propose a soft computing model based on multi-objective evolutionary algorithm (MOEA), namely, modified micro genetic algorithm (MmGA) coupled with…

1682

Abstract

Purpose

The purpose of this paper is to propose a soft computing model based on multi-objective evolutionary algorithm (MOEA), namely, modified micro genetic algorithm (MmGA) coupled with a decision tree (DT)-based classifier, in classifying and optimising the students’ online interaction activities as classifier of student achievement. Subsequently, the results are transformed into useful information that may help educator in designing better learning instructions geared towards higher student achievement.

Design/methodology/approach

A soft computing model based on MOEA is proposed. It is tested on benchmark data pertaining to student activities and achievement obtained from the University of California at Irvine machine learning repository. Additional, a real-world case study in a distance learning institution, namely, Wawasan Open University in Malaysia has been conducted. The case study involves a total of 46 courses collected over 24 consecutive weeks with students across the entire regions in Malaysia and worldwide.

Findings

The proposed model obtains high classification accuracy rates at reduced number of features used. These results are transformed into useful information for the educational institution in our case study in an effort to improve student achievement. Whether benchmark or real-world case study, the proposed model successfully reduced the number features used by at least 48 per cent while achieving higher classification accuracy.

Originality/value

A soft computing model based on MOEA, namely, MmGA coupled with a DT-based classifier, in handling educational data is proposed.

Details

Asian Association of Open Universities Journal, vol. 12 no. 1
Type: Research Article
ISSN: 1858-3431

Keywords

Content available
Article
Publication date: 15 December 2017

Maxim A. Dulebenets

The volumes of international containerized trade substantially increased over the past years. In the meantime, marine container terminal (MCT) operators are facing congestion…

1108

Abstract

Purpose

The volumes of international containerized trade substantially increased over the past years. In the meantime, marine container terminal (MCT) operators are facing congestion issues at their terminals because of the increasing number of large-size vessels, the lack of innovative technologies and advanced handling equipment and the inability of proper scheduling of the available resources. This study aims to propose a novel memetic algorithm with a deterministic parameter control to facilitate the berth scheduling at MCTs and minimize the total vessel service cost.

Design/methodology/approach

A local search heuristic, which is based on the first-come-first-served policy, is applied at the chromosomes and population initialization stage within the developed memetic algorithm (MA). The deterministic parameter control strategy is implemented for a custom mutation operator, which alters the mutation rate values based on the piecewise function throughout the evolution of the algorithm. Performance of the proposed MA is compared with that of the alternative solution algorithms widely used in the berth scheduling literature, including a MA that does not apply the deterministic parameter control strategy, typical evolutionary algorithm, simulated annealing and variable neighborhood search.

Findings

Results demonstrate that the developed MA with a deterministic parameter control can obtain superior berth schedules in terms of the total vessel service cost within a reasonable computational time. Furthermore, greater cost savings are observed for the cases with high demand and low berthing capacity at the terminal. A comprehensive analysis of the convergence patterns indicates that introduction of the custom mutation operator with a deterministic control for the mutation rate value would provide more efficient exploration and exploitation of the search space.

Research limitations/implications

This study does not account for uncertainty in vessel arrivals. Furthermore, potential changes in the vessel handling times owing to terminal disruptions are not captured.

Practical implications

The developed solution algorithm can serve as an efficient planning tool for MCT operators and assist with efficient berth scheduling for both discrete and continuous berthing layout cases.

Originality/value

The majority of studies on berth scheduling rely on the stochastic search algorithms without considering the specific problem properties and applying the guided search heuristics. Unlike canonical evolutionary algorithms, the developed algorithm uses a local search heuristic for the chromosomes and population initialization and adjusts the mutation rate values based on a deterministic parameter control strategy for more efficient exploration and exploitation of the search space.

Details

Maritime Business Review, vol. 2 no. 4
Type: Research Article
ISSN: 2397-3757

Keywords

Content available
Article
Publication date: 1 June 2004

Alex M. Andrew

218

Abstract

Details

Kybernetes, vol. 33 no. 5/6
Type: Research Article
ISSN: 0368-492X

Keywords

Open Access
Article
Publication date: 16 October 2017

Ahmed Mohammed, Qian Wang and Xiaodong Li

The purpose of this paper is to investigate the economic feasibility of a three-echelon Halal Meat Supply Chain (HMSC) network that is monitored by a proposed radio frequency…

2753

Abstract

Purpose

The purpose of this paper is to investigate the economic feasibility of a three-echelon Halal Meat Supply Chain (HMSC) network that is monitored by a proposed radio frequency identification (RFID)-based management system for enhancing the integrity traceability of Halal meat products and to maximize the average integrity number of Halal meat products, maximize the return of investment (ROI), maximize the capacity utilization of facilities and minimize the total investment cost of the proposed RFID-monitoring system. The location-allocation problem of facilities needs also to be resolved in conjunction with the quantity flow of Halal meat products from farms to abattoirs and from abattoirs to retailers.

Design/methodology/approach

First, a deterministic multi-objective mixed integer linear programming model was developed and used for optimizing the proposed RFID-based HMSC network toward a comprised solution based on four conflicting objectives as described above. Second, a stochastic programming model was developed and used for examining the impact on the number of Halal meat products by altering the value of integrity percentage. The ε-constraint approach and the modified weighted sum approach were proposed for acquisition of non-inferior solutions obtained from the developed models. Furthermore, the Max-Min approach was used for selecting the best solution among them.

Findings

The research outcome shows the applicability of the developed models using a real case study. Based on the computational results, a reasonable ROI can be achievable by implementing RFID into the HMSC network.

Research limitations/implications

This work addresses interesting avenues for further research on exploring the HMSC network design under different types of uncertainties and transportation means. Also, environmentalism has been becoming increasingly a significant global problem in the present century. Thus, the presented model could be extended to include the environmental aspects as an objective function.

Practical implications

The model can be utilized for food supply chain designers. Also, it could be applied to realistic problems in the field of supply chain management.

Originality/value

Although there were a few studies focusing on the configuration of a number of HMSC networks, this area is overlooked by researchers. The study shows the developed methodology can be a useful tool for designers to determine a cost-effective design of food supply chain networks.

Details

Industrial Management & Data Systems, vol. 117 no. 9
Type: Research Article
ISSN: 0263-5577

Keywords

Content available
Article
Publication date: 1 October 2003

Andrew Adamatzky

61

Abstract

Details

Kybernetes, vol. 32 no. 7/8
Type: Research Article
ISSN: 0368-492X

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