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All Journal Bulletin of Electrical Engineering and Informatics JASDS: Journal of Applied Statistics and Data Science
Nguyen, Nhat Minh
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Computer Science & IT Electrical & Electronics Engineering Mathematics

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Multi-objective optimization for algorithmic trading in the Vietnamese stock market Nguyen, Trung Duc; Nguyen, Nhat Minh; Tran, Minh
Bulletin of Electrical Engineering and Informatics Vol 14, No 4: August 2025
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11591/eei.v14i4.9288

Abstract

This study aims to optimize algorithmic trading strategies using the relative strength index (RSI) and the moving average convergence divergence (MACD) indicators in the Vietnamese stock market. An automated trading system is constructed to optimize indicator parameters using multi-objective particle swarm optimization (PSO) over three objective functions: total return, win rate, and number of trades. The system employs simultaneous optimization of parameters and signal aggregation for developing the optimal selection strategy. Based on daily Vietnam index data from 2018 to 2024, the results show that the PSO method surpasses the differential evolution (DE) method in both returns and execution time. Additionally, the optimal selection strategy achieves superior performance compared to benchmark strategies. It also demonstrates the ability to adapt to the preferences of traders by selecting appropriate indicators. Traders can use the MACD indicator to seek higher profits, while the RSI indicator is more suitable for minimizing transaction costs in a volatile market.
Estimation and Forecasting of HPG's Return Rate in Vietnam Using The ARIMA-GARCH Model Phung Duy, Quang; Tong, Phuong Mai; Nguyen, Nhat Minh; Nguyen Thi, Mai Linh; Chu Thi, Loan; Vu Thi, Cam Anh
Journal of Applied Statistics and Data Science Vol. 2 No. 2 (2025): Journal of Applied Statistics and Data Science
Publisher : Universitas Brawijaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21776/ub.jasds.2025.002.02.5

Abstract

The volatility of stock indices in the stock market is a crucial basis for market evaluation and trend prediction, often having a significant impact on investment and trading decisions. Therefore, analyzing and forecasting these changes helps to effectively manage risk and optimize returns for investors. This study analyzes the volatility of the return rate of HPG stock based on its closing prices from 24/09/2021 to 24/09/2024. The most suitable model selected for forecasting is ARIMA(11,0,19)-GARCH(1,1). The results indicate that, between 25/09/2024 and 04/10/2024, the return rate of HPG stock is expected to experience slight fluctuations with varying positive and negative returns. However, the decline is not significant and does not substantially affect the long-term trend of the stock.
Co-Authors Chu Thi, Loan Nguyen Thi, Mai Linh Nguyen, Trung Duc Phung Duy, Quang Tong, Phuong Mai Tran, Minh Vu Thi, Cam Anh