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One Rank Cuckoo Search Algorithm with Application to Algorithmic Trading Systems Optimization

by Ahmed S. Tawfik, Amr A. Badr, Ibrahim F. Abdel-rahman
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International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
Volume 64 - Number 6
Year of Publication: 2013
Authors: Ahmed S. Tawfik, Amr A. Badr, Ibrahim F. Abdel-rahman
10.5120/10641-5394

Ahmed S. Tawfik, Amr A. Badr, Ibrahim F. Abdel-rahman . One Rank Cuckoo Search Algorithm with Application to Algorithmic Trading Systems Optimization. International Journal of Computer Applications. 64, 6 ( February 2013), 30-37. DOI=10.5120/10641-5394

@article{ 10.5120/10641-5394,
author = { Ahmed S. Tawfik, Amr A. Badr, Ibrahim F. Abdel-rahman },
title = { One Rank Cuckoo Search Algorithm with Application to Algorithmic Trading Systems Optimization },
journal = { International Journal of Computer Applications },
issue_date = { February 2013 },
volume = { 64 },
number = { 6 },
month = { February },
year = { 2013 },
issn = { 0975-8887 },
pages = { 30-37 },
numpages = {9},
url = { https://ijcaonline.org/archives/volume64/number6/10641-5394/ },
doi = { 10.5120/10641-5394 },
publisher = {Foundation of Computer Science (FCS), NY, USA},
address = {New York, USA}
}
%0 Journal Article
%1 2024-02-06T21:15:43.304568+05:30
%A Ahmed S. Tawfik
%A Amr A. Badr
%A Ibrahim F. Abdel-rahman
%T One Rank Cuckoo Search Algorithm with Application to Algorithmic Trading Systems Optimization
%J International Journal of Computer Applications
%@ 0975-8887
%V 64
%N 6
%P 30-37
%D 2013
%I Foundation of Computer Science (FCS), NY, USA
Abstract

Cuckoo search is a nature-inspired metaheuristic algorithm, based on the brood parasitism of some cuckoo species, along with Lévy flights random walks. In this paper, a modified version is proposed, where the new solutions generated from the exploration and exploitation phases are combined, evaluated and ranked together, rather than separately in the original algorithm, in addition to imposing a bound by best solutions mechanism to help improve convergence rate and performance. The proposed algorithm was tested on a set of ten standard benchmark functions, and applied to a real-world problem of algorithmic trading systems optimization in the financial markets. Experimental analysis demonstrated improved performance in almost all benchmark functions and the problem under study.

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Index Terms

Computer Science
Information Sciences

Keywords

Algorithms Algorithmic Trading Cuckoo Search Metaheuristics Nature-inspired Algorithms Optimization Technical Analysis Swarm Intelligence

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