Matematický model obchodnej stratégie pre trh s elektrinou

Authors

  • Marek Pavlík

Keywords:

genetické algoritmy, liberalizácia, burza

Abstract

Článok sa venuje tvorbe obchodnej stratégie pre trh s elektrinou. Vytvorenie stratégie bolo vykonané na báze genetických algoritmov. Vstupom do procesu tvorby stratégie boli technické indikátory RSI a %W. Celkovo bolo vytvorených 1200 stratégií. Po vytvorení boli stratégie otestované na testoch robustnosti – celkovo tri testy robustnosti, test zamiešania obchodov, test vynechania obchodov a test zmeny parametrov.  Týmito testami prešli iba dve stratégie z celkového počtu 1200.Jedna z nich bola vybraná ako finálna podoba obchodnej stratégie pre trh s elektrinou.

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Published

2017-11-23

Issue

Vol. 10 No. 1 (2017)

Section

Power System Control, Liberalisation of Electricity Market

License

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