TY - GEN
T1 - Enhancing existing stockmarket trading strategies using artificial neural networks
T2 - 14th International Conference on Neural Information Processing, ICONIP 2007
AU - Vanstone, Bruce
AU - Finnie, Gavin
PY - 2008
Y1 - 2008
N2 - Developing financially viable stockmarket trading systems is a difficult, yet reasonably well understood process. Once an initial trading system has been built, the desire usually turns to finding ways to improve the system. Typically, this is done by adding and subtracting if-then style rules, which act as filters to the initial buy/sell signal. Each time a new set of rules are added, the system is retested, and, dependant on the effect of the added rules, they may be included into the system. Naturally, this style of data snooping leads to a curve-fitting approach, and the resultant system may not continue to perform well out-of-sample. The authors promote a different approach, using artificial neural networks, and following their previously published methodology, they demonstrate their approach using an existing medium-term trading strategy as an example.
AB - Developing financially viable stockmarket trading systems is a difficult, yet reasonably well understood process. Once an initial trading system has been built, the desire usually turns to finding ways to improve the system. Typically, this is done by adding and subtracting if-then style rules, which act as filters to the initial buy/sell signal. Each time a new set of rules are added, the system is retested, and, dependant on the effect of the added rules, they may be included into the system. Naturally, this style of data snooping leads to a curve-fitting approach, and the resultant system may not continue to perform well out-of-sample. The authors promote a different approach, using artificial neural networks, and following their previously published methodology, they demonstrate their approach using an existing medium-term trading strategy as an example.
UR - http://www.scopus.com/inward/record.url?scp=54049084250&partnerID=8YFLogxK
U2 - 10.1007/978-3-540-69162-4_50
DO - 10.1007/978-3-540-69162-4_50
M3 - Conference contribution
AN - SCOPUS:54049084250
SN - 3540691596
SN - 9783540691594
VL - 4985 LNCS
T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
SP - 478
EP - 487
BT - Neural Information Processing - 14th International Conference, ICONIP 2007, Revised Selected Papers
Y2 - 13 November 2007 through 16 November 2007
ER -