An intelligent system for risk classification of stock investment projects

The proposed paper demonstrates that a hybrid fuzzy neural network can serve as a risk classifier of stock investment projects. The training algorithm for the regular part of the network is based on bidirectional incremental evolution proving more efficient than direct evolution. The approach is compared with other crisp and soft investment appraisal and trading techniques, while building a multimodel domain representation for an intelligent decision support system. Thus the advantages of each model are utilised while looking at the investment problem from different perspectives. The empirical results are based on UK companies traded on the London Stock Exchange

A forecasting of indices and corresponding investment decision making application

Student Number : 9702018F - MSc(Eng) Dissertation - School of Electrical and Information Engineering - Faculty of Engineering and the Built EnvironmentDue to the volatile nature of the world economies, investing is crucial in ensuring an individual is prepared for future financial necessities. This research proposes an application, which employs computational intelligent methods that could assist investors in making financial decisions. This system consists of 2 components. The Forecasting Component (FC) is employed to predict the closing index price performance. Based on these predictions, the Stock Quantity Selection Component (SQSC) recommends the investor to purchase stocks, hold the current investment position or sell stocks in possession. The development of the FC module involved the creation of Multi-Layer Perceptron (MLP) as well as Radial Basis Function (RBF) neural network classifiers. TCategorizes that these networks classify are based on a profitable trading strategy that outperforms the long-term “Buy and hold” trading strategy. The Dow Jones Industrial Average, Johannesburg Stock Exchange (JSE) All Share, Nasdaq 100 and the Nikkei 225 Stock Average indices are considered. TIt has been determined that the MLP neural network architecture is particularly suited in the prediction of closing index price performance. Accuracies of 72%, 68%, 69% and 64% were obtained for the prediction of closing price performance of the Dow Jones Industrial Average, JSE All Share, Nasdaq 100 and Nikkei 225 Stock Average indices, respectively. TThree designs of the Stock Quantity Selection Component were implemented and compared in terms of their complexity as well as scalability. TComplexity is defined as the number of classifiers employed by the design. Scalability is defined as the ability of the design to accommodate the classification of additional investment recommendations. TDesigns that utilized 1, 4 and 16 classifiers, respectively, were developed. These designs were implemented using MLP neural networks, RBF neural networks, Fuzzy Inference Systems as well as Adaptive Neuro-Fuzzy Inference Systems. The design that employed 4 classifiers achieved low complexity and high scalability. As a result, this design is most appropriate for the application of concern. It has also been determined that the neural network architecture as well as the Fuzzy Inference System implementation of this design performed equally well

Practical Deep Reinforcement Learning Approach for Stock Trading

Stock trading strategy plays a crucial role in investment companies. However, it is challenging to obtain optimal strategy in the complex and dynamic stock market. We explore the potential of deep reinforcement learning to optimize stock trading strategy and thus maximize investment return. 30 stocks are selected as our trading stocks and their daily prices are used as the training and trading market environment. We train a deep reinforcement learning agent and obtain an adaptive trading strategy. The agent's performance is evaluated and compared with Dow Jones Industrial Average and the traditional min-variance portfolio allocation strategy. The proposed deep reinforcement learning approach is shown to outperform the two baselines in terms of both the Sharpe ratio and cumulative returns

A Technical Analysis Indicator Based On Fuzzy Logic

AbstractIn this paper an indicator for technical analysis based on fuzzy logic is proposed, which unlike traditional technical indicators, is not a totally objective mathematical model, but incorporates subjective investor features such as the risk tendency. The fuzzy logic approach allows representing in a more “human” way the decision making reasoning that a non-expert investor would have in a real market. Such an indicator takes as input, general market information like profitability and volatility of the stock prices, while the outputs are the buy and sell signals. In addition to present the detailed formulation of the indicator, in this paper a validation for the same is presented, which makes use of a multi-agent based simulation platform within which the behavior and profits obtained by agents that used traditional technical indicators such as MA, RSI and MACD, are compared against those obtained by agents that use the fuzzy indicator for the decision making process

Design and Performance Study of Improved Fuzzy System with Genetic Algorithm

Technical trading relies heavily on analysis, most of which is statistical in nature. When the data to be modeled is nonlinear, imprecise, or complicated, fuzzy inference systems (FISs) are used in conjunction with computational, mathematical, and statistical modeling methodologies to simulate technical trading. Fuzzy logic may be modeled using linear, nonlinear, geometric, dynamic, and integer programming. These techniques, when combined with fuzzy logic, help the decision-maker arrive at a better solution while still facing some degree of ambiguity or uncertainty. The moving average method is a useful metric that may give trade recommendations to aid investors further. While trading signals inform investors of when to purchase and sell, a simple moving average provides no such information. In this research, we suggest a fuzzy moving average approach in which the intensity of trading signals, measured in terms of trading volume, is determined by using the fuzzy logic rule. In this research, we propose using fuzzy logic technical trading rules, which are more resistant to decision-making mistakes, to mitigate the trading uncertainty inherent in the conventional technical indicators method

Forecasting system approach for stock trading with relative strength index and moving average indicator

Stock is one of the investment instruments on the capital markets which provide high returns. Furthermore, Indonesian government also supports to raise awareness on investing in stock market through the national movement “to love stock market”. Apart from that, a lot of people want to invest their money in stocks hoping to get a big return in instant, however many of them suffered losses, and the intention to gain their money is not achieved. Lack of knowledge such as “high return means high risk”, is often forgotten by community. Therefore in order to increase the interest of the community to develop their money in stocks, ability to analyze on stock transactions is deeply needed. This can be achieved by using indicators as tools for analyzing the stock transaction. Departing from the elaborated issue, this research is expected to help the community in analyzing the stock, to know when the time to buy and when the time to sell. This forecasting system will provide an advice to stock investors and stock traders to pay attention to indicators: relative strength index and moving average. In conclusion the result of this research can help the investor to determine the right time to buy and sell. However, this system cannot predict very exact time and cannot became a standard for profitability, because the volatility of stock price