COMPUTATIONAL INTELLIGENCE IN FINANCIAL ENGINEERING TRADING COMPETITION: A SYSTEM FOR PROJECT-BASED LEARNING

被引：0

作者：

Chaidarun, Nachapon ^{[1
]}

Tepsuporn, Scott ^{[1
]}

Hayes, Roy ^{[1
]}

Beling, Peter ^{[1
]}

Scherer, William ^{[1
]}

Grazioli, Stefano ^{[2
]}

机构：

[1] Univ Virginia, Syst & Informat Engn, 151 Engn Way, Charlottesville, VA 22904 USA

[2] Univ Virginia, McIntire Sch Commerce, Charlottesville, VA 22904 USA

来源：

PROCEEDINGS OF THE 2014 WINTER SIMULATION CONFERENCE (WSC) | 2014年

关键词：

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper discusses the implementation of the Trading Competition held at the 2014 IEEE Computational Intelligence in Financial Engineering conference (CIFEr 2014). Participants in the competition were asked to hedge a simulated portfolio of assets, worth approximately $54 million. The winner was the individual whose portfolio most closely generated a 1% annualized return based on daily tracking. The goal of the competition was to provide participants with the opportunity to learn portfolio management and hedging skill. Self-assessments indicate that contestants improved their portfolio management skills and enjoyed their experience. This paper discusses methods used to generate the simulated stock and option prices and to construct the trading platform. All of the software used in the competition is being made open source in the hope that students, professors, and practitioners improve on the idea of the competition, thereby facilitating project-based learning for the future practitioners of economics, finance, and financial engineering.

引用

页码：3552 / 3560

页数：9

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