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An Evolutionary Approach to Define Investment Strategies based on Macroeconomic Indicators and VIX Data

Yefimochkin, O. Y. ; Neves, R. ; Horta, N.

An Evolutionary Approach to Define Investment Strategies based on Macroeconomic Indicators and VIX Data, Proc Genetic and Evolutionary Computation Conf. - GECCO, Philadelphia, United States, Vol. , pp. - , July, 2012.

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Abstract
This paper describes a new evolutionary approach to stock market forecasting. This approach can successfully forecast S&P500 Index’s Futures price evolution using mainly Macroeconomic Indicators from different regions (United States of America, European Monetary Union and Germany) and measuring its impact using Index’s volatility. In addition to the Macroeconomic data time series, MAs and VIX were used. In order to validate the results, the obtained strategies, based on Macroeconomic Indicators, were compared against the B&H and MA based strategies in the period between 2010/01 and 2011/09 with the S&P500 Index Futures, showing outstanding improvements in performance.