DocumentCode
2030219
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
Volume
3
fYear
1999
fDate
1999
Firstpage
1123
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Neural Information Processing, 1999. Proceedings. ICONIP '99. 6th International Conference on
Conference_Location
Perth, WA
Print_ISBN
0-7803-5871-6
Type
conf
DOI
10.1109/ICONIP.1999.844693
Filename
844693
Link To Document