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research-article

Optimization of risk control in financial markets based on particle swarm optimization algorithm

Author:

Huaping ZhangAuthors Info & Claims

Volume 368, Issue C

https://doi.org/10.1016/j.cam.2019.112530

Published: 01 April 2020 Publication History

Abstract

In order to better control the risk of financial market, considering the volatility of deviation degree in the negative absolute deviation risk control index, a portfolio model with improved typical transaction cost function based on CVaR is established, and the particle swarm optimization (PSO) algorithm for solving this model is given to control and optimize the risk of financial market. The results show that PSO algorithm not only has higher convergence speed and accuracy, but also effectively improves the premature phenomenon. Therefore, it can be concluded that the best way to transfer risks in financial market through decentralization is to construct the optimal financial asset portfolio.

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Cited By

Kumar MXu ZLiu JYang YZhou K(2024)Dynamic Prediction Model of Financial Asset Volatility Based on Bidirectional Recurrent Neural NetworksJournal of Organizational and End User Computing10.4018/JOEUC.34592536:1(1-23)Online publication date: 21-Jun-2024
https://dl.acm.org/doi/10.4018/JOEUC.345925
Wang ZHuang CLi YYao X(2024)Multi-objective Feature Attribution Explanation For Explainable Machine LearningACM Transactions on Evolutionary Learning and Optimization10.1145/36173804:1(1-32)Online publication date: 23-Feb-2024
https://dl.acm.org/doi/10.1145/3617380

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Optimization of risk control in financial markets based on particle swarm optimization algorithm

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Information & Contributors

Information

Published In

cover image Journal of Computational and Applied Mathematics

Journal of Computational and Applied Mathematics Volume 368, Issue C

Apr 2020

742 pages

ISSN:0377-0427

Issue’s Table of Contents

Elsevier B.V.

Publisher

Elsevier Science Publishers B. V.

Netherlands

Publication History

Published: 01 April 2020

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Cited By

Kumar MXu ZLiu JYang YZhou K(2024)Dynamic Prediction Model of Financial Asset Volatility Based on Bidirectional Recurrent Neural NetworksJournal of Organizational and End User Computing10.4018/JOEUC.34592536:1(1-23)Online publication date: 21-Jun-2024
https://dl.acm.org/doi/10.4018/JOEUC.345925
Wang ZHuang CLi YYao X(2024)Multi-objective Feature Attribution Explanation For Explainable Machine LearningACM Transactions on Evolutionary Learning and Optimization10.1145/36173804:1(1-32)Online publication date: 23-Feb-2024
https://dl.acm.org/doi/10.1145/3617380

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