Designing short term trading systems with artificial neural networks

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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 wreiddiolSaesneg
TeitlAdvances in Electrical Engineering and Computational Science
Tudalennau401-409
Nifer y tudalennau9
Cyfrol39 LNEE
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - 2009
Cyhoeddwyd yn allanolIe

Cyfres gyhoeddiadau

EnwLecture Notes in Electrical Engineering
Gweld graff cysylltiadau