Evolutionary computation in quant finance

[latus_rectum]

Hi All,
I have been working on stochastic evolutionary algorithm for few years now. Of the variety of different evolutionary algorithms, my focus has been on Multi objective particle swarm optimisation(mopso). I have worked on a diversity preference mopso and got published - here

I was just going through the literature at the intersection of evolutionary algorithms and quant finance. Found some interesting techniques for carry trade portfolio optimisation using such algorithms. There were also some papers around using EAs for time series forecasting and a vast number of trials for portfolio optimisation.

I am looking for advice and general direction someone can point me in w.r.t. problem statement in quant finance where EAs could be promising. I am looking to implement my published algorithm for such a problem and see how it performs.

 

[redoctober]

Not sure if this is up your alley but I did undergrad research with different algorithms (including ga and pso) to calibrate parameters in Heston based stochastic models. Nothing too exciting but definitely better than traditional gradient descent approaches.

Option pricing isn’t as hot a topic in quant anymore as portfolio optimization but it’s another intersection of EAs and quant finance.