Zhang Xuecong, Zhong Chen, Abualigah Laith
School of Business Administration, South China University of Technology, Guangzhou, Guangdong China.
Hourani Center for Applied Scientific Research, Al-Ahliyya Amman University, Amman, 19328 Jordan.
Soft comput. 2023;27(7):3921-3939. doi: 10.1007/s00500-022-07526-6. Epub 2022 Nov 8.
At present, the COVID-19 epidemic is still spreading at home and abroad, and the foreign exchange market is highly volatile. From financial institutions to individual investors, foreign exchange asset allocation has become important contents worthy of attention. However, most intelligent optimization algorithms (hereinafter IOAS) adopt the existing data and ignore the forecasted one in the foreign exchange portfolio allocation, which will result in a huge difference between portfolio allocation and actual demand; at the same time, many IOAS are less adaptable and have lower optimization ability in portfolio problems. To solve the aforementioned problems, this paper first proposed a DETS based on hybrid tabu search and differential evolution algorithms (DEAs), which has excellent optimization ability. Subsequently, the DETS algorithm was applied to support vector machine (SVM) model. Experiments show that, compared with other algorithms, the MAE and RMSE obtained by using DETS optimization parameters are reduced by at least 3.79 and 1.47%, while the CTR is improved by at least 2.19%. Then combined with the DETS algorithm and Pareto sorting theory, an algorithm suitable for multi-objective optimization was further proposed, named NSDE-TS. Finally, by applying NSDE-TS algorithm, the optimal foreign exchange portfolio is acquired. The empirical analysis shows that the Pareto front obtained by this algorithm is better than that of NSGA-II. Since the lower the uniformity index and convergence index, the stronger the optimization performance of the corresponding algorithm, compared with NSGA-II, its uniformity and convergence index decreased by 15.7 and 39.6%.
当前,新冠疫情仍在国内外蔓延,外汇市场波动剧烈。从金融机构到个人投资者,外汇资产配置已成为值得关注的重要内容。然而,大多数智能优化算法(以下简称IOAS)在外汇投资组合配置中采用现有数据而忽略预测数据,这将导致投资组合配置与实际需求之间存在巨大差异;同时,许多IOAS适应性较差,在投资组合问题中的优化能力较低。为解决上述问题,本文首先提出了一种基于混合禁忌搜索和差分进化算法(DEAs)的DETS,其具有出色的优化能力。随后,将DETS算法应用于支持向量机(SVM)模型。实验表明,与其他算法相比,使用DETS优化参数得到的MAE和RMSE至少降低了3.79%和1.47%,而CTR至少提高了2.19%。然后结合DETS算法和帕累托排序理论,进一步提出了一种适用于多目标优化的算法,命名为NSDE-TS。最后,通过应用NSDE-TS算法,获得了最优外汇投资组合。实证分析表明,该算法得到的帕累托前沿优于NSGA-II。由于均匀性指标和收敛指标越低,相应算法的优化性能越强,与NSGA-II相比,其均匀性和收敛指标分别下降了15.7%和39.6%。