Risk management in the Australian stock market using Artificial Neural Networks

Bjoern Krollner, Bruce J Vanstone, Gavin Finnie

Research output: Contribution to journalArticleResearchpeer-review

Abstract

Stock market prediction with machine learning techniques is a popular field of research due to the potential profit making opportunities. A less frequently analysed area in financial data mining is the application of Artificial Neural Networks (ANNs) in the domain of risk management. This paper aims to contribute to the literature by examining advances in stock market prediction and use them to create hedging strategies to protect stock portfolios against downturns in the stock market. The simulation results indicate that Artificial Neural Networks provide a flexible and effective decision support tool for risk managers in the Australian stock market.
Original languageEnglish
Pages (from-to)1-12
Number of pages12
JournalAustralian Journal of Intelligent Information Processing Systems
Volume13
Issue number2
Publication statusPublished - 2012

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Artificial neural network
Risk management
Stock market
Prediction
Managers
Simulation
Data mining
Hedging strategies
Financial data
Decision support
Machine learning
Profit

Cite this

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abstract = "Stock market prediction with machine learning techniques is a popular field of research due to the potential profit making opportunities. A less frequently analysed area in financial data mining is the application of Artificial Neural Networks (ANNs) in the domain of risk management. This paper aims to contribute to the literature by examining advances in stock market prediction and use them to create hedging strategies to protect stock portfolios against downturns in the stock market. The simulation results indicate that Artificial Neural Networks provide a flexible and effective decision support tool for risk managers in the Australian stock market.",
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Risk management in the Australian stock market using Artificial Neural Networks. / Krollner, Bjoern; Vanstone, Bruce J; Finnie, Gavin.

In: Australian Journal of Intelligent Information Processing Systems, Vol. 13, No. 2, 2012, p. 1-12.

Research output: Contribution to journalArticleResearchpeer-review

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