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1、201212thInternationalConferenceonControl,AutomationandSystemsOct.17-21,2012inICC,JejuIsland,KoreaCombinatorialOptimizationUsingFOAandGAinFuturesMarketTechnicalAnalysis12YuwenZhang,ChenFang1.SchoolofAerospaceEngineering,Beijinginstituteoftechnology,Beijing100081E-mail
2、:great.mountain@foxmail.com2.SchoolofManagementandEconomics,BeijingInstituteofTechnology,Beijing100081E-mail:lindafc@foxmail.comAbstract:ThispaperpresentsacombinationoftheFruitFlyOptimizationAlgorithm(FOA)andGeneticAlgorithm(GA)formulti-objectivecombinatorialoptimiza
3、tion(MOCO).ThegoalofthecombinationistocombinetheadvantagesofFOAforitsgoodabilityinfastconvergenceandGAforitsgoodperformanceincombinatorialoptimization.Inthelastpartofthepaper,thenewcombinationmethodwasappliedtothecombinatorialoptimizationoffuturesmarkettechnicalanaly
4、sis.Itshowsgoodperformanceinfindingabestcombinationandgoodsuitabilitywhendatahasbeenchanged.Keywords:GA,FOA,CombinatorialOptimization,FuturesTechnicalAnalysis.1.INTRODUCTION2.RELATEDCONCEPTSOFFUTURESTheconceptofthefuturesmarketdevelopedfromInrecentyears,thetreatmento
5、foptimizationproblems[15][1]forwardcontracts.Theseenableproducersandhascaughtmanypeople’sattention.Forexample,the[2]consumersofcommoditiestobecertainofthefutureproductionscheduleoptimizationproblem,thepriceofgoodsnotyetreadyformarket.shortestrouteprobleminthetraffict
6、ransportation[3]Therearesomeinternalrulesinthefuturesmarket,industry,andtheshortestrouteprobleminthelogisticsڸڏڶandwecanmakeashort-termforecastaccordingtopastindustry,etc.Untilnow,algorithmsthatarecommonlydata.Speculatorsmakedecisionstoshortbuyingorshortusedtotreatop
7、timizationproblemsanddataminingsellingaccordingtotheirjudgmentofthefuturesprice[5]include:regressionandclassification,Geneticmovements.Ifthejudgmentisthesametothetrendof[6]Algorithm(referredasGA),AntColonyOptimizationthefuturesmarketprice,speculatorsliquidatedoutfor[
8、7,8]AlgorithmandParticleSwarmOptimizationspeculativeprofitsandifthejudgmentiscontrarytothe[9]Algorithm.trendoftheprice,thenspeculat
