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Enhancing stockmarket trading performance with ANNs

Research output: Contribution to journal › Article › peer-review

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Enhancing stockmarket trading performance with ANNs. / Vanstone, Bruce; Finnie, Gavin.
In: Expert Systems with Applications, Vol. 37, No. 9, 01.09.2010, p. 6602-6610.

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

Vanstone, B & Finnie, G 2010, 'Enhancing stockmarket trading performance with ANNs', Expert Systems with Applications, vol. 37, no. 9, pp. 6602-6610. https://doi.org/10.1016/j.eswa.2010.02.124

APA

Vanstone, B., & Finnie, G. (2010). Enhancing stockmarket trading performance with ANNs. Expert Systems with Applications, 37(9), 6602-6610. https://doi.org/10.1016/j.eswa.2010.02.124

CBE

Vanstone B, Finnie G. 2010. Enhancing stockmarket trading performance with ANNs. Expert Systems with Applications. 37(9):6602-6610. https://doi.org/10.1016/j.eswa.2010.02.124

MLA

Vanstone, Bruce and Gavin Finnie. "Enhancing stockmarket trading performance with ANNs". Expert Systems with Applications. 2010, 37(9). 6602-6610. https://doi.org/10.1016/j.eswa.2010.02.124

VancouverVancouver

Vanstone B, Finnie G. Enhancing stockmarket trading performance with ANNs. Expert Systems with Applications. 2010 Sept 1;37(9):6602-6610. doi: 10.1016/j.eswa.2010.02.124

Author

Vanstone, Bruce ; Finnie, Gavin. / Enhancing stockmarket trading performance with ANNs. In: Expert Systems with Applications. 2010 ; Vol. 37, No. 9. pp. 6602-6610.

RIS

TY - JOUR

T1 - Enhancing stockmarket trading performance with ANNs

AU - Vanstone, Bruce

AU - Finnie, Gavin

PY - 2010/9/1

Y1 - 2010/9/1

N2 - Artificial neural networks (ANNs) have been repeatedly and consistently applied to the domain of trading financial time series, with mixed results. Many researchers have developed their own techniques for both building and testing such ANNs, and this presents a difficulty when trying to learn lessons and compare results. In a previous paper, Vanstone and Finnie have outlined an empirical methodology for creating and testing ANNs for use within stockmarket trading systems. This paper demonstrates the use of their methodology, and creates and benchmarks a financially viable ANN-based trading system. Many researchers appear to fail at the final hurdles in their endeavour to create ANN-based trading systems, most likely due to their lack of understanding of the constraints of real-world trading. This paper also attempts to address this issue.

AB - Artificial neural networks (ANNs) have been repeatedly and consistently applied to the domain of trading financial time series, with mixed results. Many researchers have developed their own techniques for both building and testing such ANNs, and this presents a difficulty when trying to learn lessons and compare results. In a previous paper, Vanstone and Finnie have outlined an empirical methodology for creating and testing ANNs for use within stockmarket trading systems. This paper demonstrates the use of their methodology, and creates and benchmarks a financially viable ANN-based trading system. Many researchers appear to fail at the final hurdles in their endeavour to create ANN-based trading systems, most likely due to their lack of understanding of the constraints of real-world trading. This paper also attempts to address this issue.

U2 - 10.1016/j.eswa.2010.02.124

DO - 10.1016/j.eswa.2010.02.124

M3 - Article

VL - 37

SP - 6602

EP - 6610

JO - Expert Systems with Applications

JF - Expert Systems with Applications

SN - 0957-4174

IS - 9

ER -