神经网络和交易策略.pdf

Proceedings of the World Congress on Engineering 2008 Vol I WCE 2008, July 2 - 4, 2008, London, U.K. Creating Short-term Stockmarket Trading Strategies using Artificial Neural Networks: A Case Study Bruce Vanstone, Tobias Hahn outlined are repeated in this paper. The overall methodology Abstract— Developing short-term stockmarket trading is described in detail in ‘An empirical methodology for systems is a complex process, as there is a great deal of random developing stockmarket trading systems using artificial noise present in the time series data of individual securities. neural networks’ by Vanstone and Finnie [1], and this The primary difficulty in training neural networks to identify methodology is referred to in this paper as ‘the empirical return expectations is to find variables to help identify the signal present in the data. In this paper, the authors follow the methodology’. previously published Vanstone and Finnie methodology. They develop a successful neural network, and demonstrate its II. REVIEW OF LITERATURE effectiveness as the core element of a financially viable trading There are two primary styles of stockmarket trader, namely system.