A. Elder

D. Guppy

J. Sweeney

V. K. Tharp

English

There is a long established history of applying Artificial Neural Networks (ANNs) to financial data sets. In this paper, the authors demonstrate the use of this methodology to develop a financially viable, short-term trading system. When developing short-term systems, the authors typically site the neural network within an already existing non-neural trading system. This paper briefly reviews an existing medium-term long-only trading system, and then works through the Vanstone and Finnie methodology to create a short-term focused ANN which will enhance this trading strategy. The initial trading strategy and the ANN enhanced trading strategy are comprehensively benchmarked both in-sample and out-of-sample, and the superiority of the resulting ANN enhanced system is demonstrated.</p

Vanstone, Bruce

Finnie, Gavin

Hahn, Tobias

Bond University Research Portal

Designing short term trading systems with artificial neural networks

Crossref

Designing Short Term Trading Systems with Artificial Neural Networks

https://pure.bond.edu.au/ws/files/33738610/fulltext.pdf

Designing short term trading systems with artificial neural networks

Abstract

Similar works

Full text

Available Versions

Bond University Research Portal

Crossref