Artificial intelligence in financial markets

This paper is based on research applying artificial intelligence to problems of trading financial markets. The paper presents a background to various financial market trading problems of interest. A model system and strategy for developing decision support systems to trade financial markets and forecast asset price movements is then presented and discussed. The problems of interest are those where the variables are not constant in time. The time series of data representing the dynamics of price movements in financial markets are nonlinear and nonstationary. The forecasting techniques developed are applied to examples of foreign exchange trading involving the directional movement only of the four major currencies of British pound sterling, Deutschemark, Swiss franc and Japanese yen against the US dollar. Examples demonstrate the forecasting output and performance of the models as measured by profit and loss returns