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Developing a Two Level Options Trading Strategy Based on Option Pair Optimization of Spread Strategies with Evolutionary Algorithms

Ucar, Ilknur; Özbayoğlu, Ahmet Murat; Ucar, Mustafa (IEEE, 2015)

In this study, a two level options trading strategy is modelled and optimized with Genetic Algorithms and Particle Swarm Optimization for profit maximization. In the first level, the trend is found and in the second level, ...