Title :
Devising a trading strategy based on the forecasted slopes of time series using a neural network
Author :
Ruying, Zhang ; Khoo, Guan-Seng ; Ma, Lawrence
Author_Institution :
Sch. of Sci., Nanyang Technol. Univ., Singapore
Abstract :
We have devised a trading strategy based on the values of and changes in the slopes of the time-series of the prices of financial instruments. The slopes are forecasted by means of a neural network and the resultant trading strategy leads to a performance that is superior to the market returns
Keywords :
electronic trading; forecasting theory; neural nets; stock markets; time series; financial instruments; neural network; performance; price; stock market returns; time series forecasted slopes; trading strategy; Artificial intelligence; Artificial neural networks; Costs; Economic forecasting; Finance; Instruments; Neural networks; Physics; Technology forecasting; Testing;
Conference_Titel :
Neural Information Processing, 1999. Proceedings. ICONIP '99. 6th International Conference on
Conference_Location :
Perth, WA
Print_ISBN :
0-7803-5871-6
DOI :
10.1109/ICONIP.1999.844693
