Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/2001
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dc.contributor.authorUçar, İlknur-
dc.contributor.authorÖzbayoğlu, Ahmet Murat-
dc.contributor.authorUçar, 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.urihttps://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.isoenen_US
dc.publisherIEEEen_US
dc.relation.ispartof2015 IEEE Congress on Evolutionary Computationen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
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.typeConference Objecten_US
dc.departmentFaculties, Faculty of Engineering, Department of Computer Engineeringen_US
dc.departmentFakülteler, Mühendislik Fakültesi, Bilgisayar Mühendisliği Bölümütr_TR
dc.identifier.startpage2526
dc.identifier.endpage2531
dc.authorid0000-0001-7998-5735-
dc.identifier.wosWOS:000380444802073en_US
dc.identifier.scopus2-s2.0-84963614705en_US
dc.institutionauthorÖzbayoğlu, Ahmet Murat-
dc.identifier.doi10.1109/CEC.2015.7257199-
dc.authorwosidH-2328-2011-
dc.authorscopusid6505999525-
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanıen_US
item.openairetypeConference Object-
item.languageiso639-1en-
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
crisitem.author.dept02.1. Department of Artificial Intelligence Engineering-
Appears in Collections:Bilgisayar Mühendisliği Bölümü / Department of Computer Engineering
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection
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