Designing short term trading systems with artificial neural networks
Allbwn ymchwil: Pennod mewn Llyfr/Adroddiad/Trafodion Cynhadledd › Cyfraniad i Gynhadledd
Fersiynau electronig
Dangosydd eitem ddigidol (DOI)
There is a long established history of applying Artificial Neural Networks (ANNs) to financial data sets. In this paper, the authors demonstrate the use of this methodology to develop a financially viable, short-term trading system. When developing short-term systems, the authors typically site the neural network within an already existing non-neural trading system. This paper briefly reviews an existing medium-term long-only trading system, and then works through the Vanstone and Finnie methodology to create a short-term focused ANN which will enhance this trading strategy. The initial trading strategy and the ANN enhanced trading strategy are comprehensively benchmarked both in-sample and out-of-sample, and the superiority of the resulting ANN enhanced system is demonstrated.
Iaith wreiddiol | Saesneg |
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Teitl | Advances in Electrical Engineering and Computational Science |
Tudalennau | 401-409 |
Nifer y tudalennau | 9 |
Cyfrol | 39 LNEE |
Dynodwyr Gwrthrych Digidol (DOIs) | |
Statws | Cyhoeddwyd - 2009 |
Cyhoeddwyd yn allanol | Ie |
Cyfres gyhoeddiadau
Enw | Lecture Notes in Electrical Engineering |
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