{"id":"https://openalex.org/W2044737391","doi":"https://doi.org/10.1145/2330784.2331035","title":"An evolutionary approach to define investment strategies based on macroeconomic indicators and VIX data","display_name":"An evolutionary approach to define investment strategies based on macroeconomic indicators and VIX data","publication_year":2012,"publication_date":"2012-07-07","ids":{"openalex":"https://openalex.org/W2044737391","doi":"https://doi.org/10.1145/2330784.2331035","mag":"2044737391"},"language":"en","primary_location":{"id":"doi:10.1145/2330784.2331035","is_oa":false,"landing_page_url":"https://doi.org/10.1145/2330784.2331035","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 14th annual conference companion on Genetic and evolutionary computation","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5085805672","display_name":"Oleksandr Yefimochkin","orcid":null},"institutions":[{"id":"https://openalex.org/I4210120471","display_name":"Instituto de Telecomunica\u00e7\u00f5es","ror":"https://ror.org/02ht4fk33","country_code":"PT","type":"nonprofit","lineage":["https://openalex.org/I4210120471"]},{"id":"https://openalex.org/I4387152517","display_name":"Instituto Superior T\u00e9cnico","ror":"https://ror.org/03db2by73","country_code":"PT","type":"education","lineage":["https://openalex.org/I141596103","https://openalex.org/I4387152517"]}],"countries":["PT"],"is_corresponding":false,"raw_author_name":"Oleksandr Yefimochkin","raw_affiliation_strings":["Instituto de Telecomunica\u00e7\u00f5es/Instituto Superior T\u00e9cnico, Lisbon, Portugal"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Instituto de Telecomunica\u00e7\u00f5es/Instituto Superior T\u00e9cnico, Lisbon, Portugal","institution_ids":["https://openalex.org/I4210120471","https://openalex.org/I4387152517"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5053601068","display_name":"Rui Neves","orcid":"https://orcid.org/0000-0001-5482-9883"},"institutions":[{"id":"https://openalex.org/I4210120471","display_name":"Instituto de Telecomunica\u00e7\u00f5es","ror":"https://ror.org/02ht4fk33","country_code":"PT","type":"nonprofit","lineage":["https://openalex.org/I4210120471"]},{"id":"https://openalex.org/I4387152517","display_name":"Instituto Superior T\u00e9cnico","ror":"https://ror.org/03db2by73","country_code":"PT","type":"education","lineage":["https://openalex.org/I141596103","https://openalex.org/I4387152517"]}],"countries":["PT"],"is_corresponding":false,"raw_author_name":"Rui Neves","raw_affiliation_strings":["Instituto de Telecomunica\u00e7\u00f5es/Instituto Superior T\u00e9cnico, Lisbon, Portugal"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Instituto de Telecomunica\u00e7\u00f5es/Instituto Superior T\u00e9cnico, Lisbon, Portugal","institution_ids":["https://openalex.org/I4210120471","https://openalex.org/I4387152517"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5056512471","display_name":"Nuno Horta","orcid":"https://orcid.org/0000-0002-1687-1447"},"institutions":[{"id":"https://openalex.org/I4210120471","display_name":"Instituto de Telecomunica\u00e7\u00f5es","ror":"https://ror.org/02ht4fk33","country_code":"PT","type":"nonprofit","lineage":["https://openalex.org/I4210120471"]},{"id":"https://openalex.org/I4387152517","display_name":"Instituto Superior T\u00e9cnico","ror":"https://ror.org/03db2by73","country_code":"PT","type":"education","lineage":["https://openalex.org/I141596103","https://openalex.org/I4387152517"]}],"countries":["PT"],"is_corresponding":false,"raw_author_name":"Nuno Horta","raw_affiliation_strings":["Instituto de Telecomunica\u00e7\u00f5es/Instituto Superior T\u00e9cnico, Lisbon, Portugal"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Instituto de Telecomunica\u00e7\u00f5es/Instituto Superior T\u00e9cnico, Lisbon, Portugal","institution_ids":["https://openalex.org/I4210120471","https://openalex.org/I4387152517"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.15270185,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"1539","last_page":"1540"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9904999732971191,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.7262017130851746},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.646240234375},{"id":"https://openalex.org/keywords/index","display_name":"Index (typography)","score":0.6225749254226685},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5994290113449097},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5942346453666687},{"id":"https://openalex.org/keywords/stock-market-index","display_name":"Stock market index","score":0.5769856572151184},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.4921185374259949},{"id":"https://openalex.org/keywords/economic-indicator","display_name":"Economic indicator","score":0.4887857139110565},{"id":"https://openalex.org/keywords/stock-index-futures","display_name":"Stock index futures","score":0.48213455080986023},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.42978179454803467},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.4279765486717224},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.3692862093448639},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.28913918137550354},{"id":"https://openalex.org/keywords/macroeconomics","display_name":"Macroeconomics","score":0.2067917287349701},{"id":"https://openalex.org/keywords/geography","display_name":"Geography","score":0.10032635927200317}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7262017130851746},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.646240234375},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.6225749254226685},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5994290113449097},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5942346453666687},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.5769856572151184},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.4921185374259949},{"id":"https://openalex.org/C202353208","wikidata":"https://www.wikidata.org/wiki/Q1167393","display_name":"Economic indicator","level":2,"score":0.4887857139110565},{"id":"https://openalex.org/C2993390347","wikidata":"https://www.wikidata.org/wiki/Q905615","display_name":"Stock index futures","level":5,"score":0.48213455080986023},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.42978179454803467},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.4279765486717224},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.3692862093448639},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.28913918137550354},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.2067917287349701},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.10032635927200317},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.0},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/2330784.2331035","is_oa":false,"landing_page_url":"https://doi.org/10.1145/2330784.2331035","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 14th annual conference companion on Genetic and evolutionary computation","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":4,"referenced_works":["https://openalex.org/W1487994829","https://openalex.org/W1974807415","https://openalex.org/W2107194637","https://openalex.org/W2108591703"],"related_works":["https://openalex.org/W2265480168","https://openalex.org/W1604884935","https://openalex.org/W2094189872","https://openalex.org/W2359905453","https://openalex.org/W2075194507","https://openalex.org/W5519175","https://openalex.org/W2435596057","https://openalex.org/W2372980721","https://openalex.org/W2177617965","https://openalex.org/W4235697092"],"abstract_inverted_index":{"This":[0,11],"paper":[1],"describes":[2],"a":[3],"new":[4],"evolutionary":[5],"approach":[6,12],"to":[7,46,59],"stock":[8],"market":[9],"forecasting.":[10],"can":[13],"successfully":[14],"forecast":[15],"S&P500":[16,88],"Index's":[17,42],"Futures":[18],"price":[19],"evolution":[20],"using":[21,41],"mainly":[22],"Macroeconomic":[23,48,68],"Indicators":[24],"from":[25],"different":[26],"regions":[27],"(United":[28],"States":[29],"of":[30],"America,":[31],"European":[32],"Monetary":[33],"Union":[34],"and":[35,37,53,75,84],"Germany)":[36],"measuring":[38],"its":[39],"impact":[40],"volatility.":[43],"In":[44,57],"addition":[45],"the":[47,61,63,73,80,87],"data":[49],"time":[50],"series,":[51],"MAs":[52],"VIX":[54],"were":[55,70],"used.":[56],"order":[58],"validate":[60],"results,":[62],"obtained":[64],"strategies,":[65],"based":[66,77],"on":[67],"Indicators,":[69],"compared":[71],"against":[72],"B&H":[74],"MA":[76],"strategies":[78],"in":[79,94],"period":[81],"between":[82],"2010/01":[83],"2011/09":[85],"with":[86],"Index":[89],"Futures,":[90],"showing":[91],"outstanding":[92],"improvements":[93],"performance.":[95]},"counts_by_year":[],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
