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http://hdl.handle.net/10609/93081
Title: A survey on financial applications of metaheuristics
Author: Soler Dominguez, Amparo
Juan Pérez, Ángel Alejandro
Kizys, Renatas
Others: Universitat Oberta de Catalunya. Internet Interdisciplinary Institute (IN3)
University of Portsmouth
Universitat Jaume I
Keywords: metaheuristics
finance
combinatorial optimization
Issue Date: Apr-2017
Publisher: ACM Computing Surveys
Citation: Soler-Dominguez, A., Juan, A.A. & Kizys, R. (2017). A survey on financial applications of metaheuristics. ACM Computing Surveys, 50(1). doi: 10.1145/3054133
Also see: http://repositori.uji.es/xmlui/bitstream/10234/168284/1/53543.pdf
Abstract: Modern heuristics or metaheuristics are optimization algorithms that have been increasingly used during the last decades to support complex decision-making in a number of fields, such as logistics and transportation, telecommunication networks, bioinformatics, finance, and the like. The continuous increase in computing power, together with advancements in metaheuristics frameworks and parallelization strategies, are empowering these types of algorithms as one of the best alternatives to solve rich and real-life combinatorial optimization problems that arise in a number of financial and banking activities. This article reviews some of the works related to the use of metaheuristics in solving both classical and emergent problems in the finance arena. A non-exhaustive list of examples includes rich portfolio optimization, index tracking, enhanced indexation, credit risk, stock investments, financial project scheduling, option pricing, feature selection, bankruptcy and financial distress prediction, and credit risk assessment. This article also discusses some open opportunities for researchers in the field, and forecast the evolution of metaheuristics to include real-life uncertainty conditions into the optimization problems being considered.
Language: English
URI: http://hdl.handle.net/10609/93081
ISSN: 0360-0300MIAR
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