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dc.contributor.authorUcar, Ilknur
dc.contributor.authorÖzbayoğlu, Ahmet Murat
dc.contributor.authorUcar, Mustafa
dc.date.accessioned2019-07-10T14:42:45Z
dc.date.available2019-07-10T14:42:45Z
dc.date.issued2015
dc.identifier.citationUcar, I., Ozbayoglu, A. M., & Ucar, M. (2015, May). Developing a two level options trading strategy based on option pair optimization of spread strategies with evolutionary algorithms. In 2015 IEEE Congress on Evolutionary Computation (CEC) (pp. 2526-2531). IEEE.en_US
dc.identifier.isbn978-1-4799-7492-4
dc.identifier.urihttps://ieeexplore.ieee.org/document/7257199
dc.identifier.urihttp://hdl.handle.net/20.500.11851/2001
dc.descriptionIEEE Congress on Evolutionary Computation (CEC) (2015 : Sendai, JAPAN)
dc.description.abstractIn 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, options trading strategies for the particular trend are determined. The strike prices and expiration dates of the traded options are optimized and tested on 5 different Exchange Traded Funds (ETFs) (DIA, IWM, SPY, XLE, XLF). The performance of the proposed model is compared with Buy and Hold and commonly used technical analysis indicators and the results indicate using optimized options increased the overall profit with less drawdown risk.en_US
dc.language.isoengen_US
dc.publisherIEEEen_US
dc.relation.ispartof2015 IEEE Congress on Evolutionary Computation
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectProgram processorsen_US
dc.subjectParticle swarm optimization (PSO)en_US
dc.subjectgenetic programmingen_US
dc.titleDeveloping a Two Level Options Trading Strategy Based on Option Pair Optimization of Spread Strategies with Evolutionary Algorithmsen_US
dc.typeconferenceObjecten_US
dc.contributor.departmentTOBB ETU, Faculty of Engineering, Department of Computer Engineeringen_US
dc.contributor.departmentTOBB ETÜ, Mühendislik Fakültesi, Bilgisayar Mühendisliği Bölümütr_TR
dc.identifier.startpage2526
dc.identifier.endpage2531
dc.contributor.orcidhttps://orcid.org/0000-0001-7998-5735
dc.identifier.wosWOS:000380444802073
dc.identifier.scopus2-s2.0-84963614705
dc.contributor.tobbetuauthorÖzbayoğlu, Ahmet Murat
dc.contributor.YOKid142991
dc.identifier.doi10.1109/CEC.2015.7257199
dc.contributor.wosresearcherIDH-2328-2011
dc.contributor.ScopusAuthorID6505999525
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanıtr_TR


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