Principles of Neurocomputing for Science and Engineering
Principles of Neurocomputing for Science and Engineering
Knowledge Discovery with SOM Networks in Financial Investment Strategy
HIS '04 Proceedings of the Fourth International Conference on Hybrid Intelligent Systems
Data Mining: Concepts and Techniques
Data Mining: Concepts and Techniques
The use of data mining and neural networks for forecasting stock market returns
Expert Systems with Applications: An International Journal
IEEE Transactions on Neural Networks
A general regression neural network
IEEE Transactions on Neural Networks
A Meta heuristic approach for performance assessment of production units
Expert Systems with Applications: An International Journal
Using relative movement to support ANN-based stock forecasting in Thai stock market
International Journal of Electronic Finance
Expert Systems with Applications: An International Journal
A self-organized neuro-fuzzy system for stock market dynamics modeling and forecasting
WSEAS Transactions on Information Science and Applications
Expert Systems with Applications: An International Journal
Expert Systems with Applications: An International Journal
A self-organized neuro-fuzzy system for stock market dynamics modeling and forecasting
ICCOMP'10 Proceedings of the 14th WSEAS international conference on Computers: part of the 14th WSEAS CSCC multiconference - Volume II
Financial data forecasting by evolutionary neural network based on ant colony algorithm
AICI'11 Proceedings of the Third international conference on Artificial intelligence and computational intelligence - Volume Part III
Information Systems Frontiers
| Hi-index | 12.06 |
It has been long recognized that trading volume provides valuable information for understanding stock price movement. As such, equivolume charting was developed to consider how stocks appear to move in a volume frame of reference as opposed to a time frame of reference. Two technical indicators, namely the volume adjusted moving average (VAMA) and the ease of movement (EMV) indicator, are developed from equivolume charting. This paper explores the profitability of stock trading by using a neural network model developed to assist the trading decisions of the VAMA and EMV. The generalized regression neural network (GRNN) is chosen and utilized on past S&P 500 index data. For the VAMA, the GRNN is used to predict the future stock prices, as well as the future width size of the equivolume boxes typically utilized on an equivolume chart, for calculating the future value of the VAMA. For the EMV, the GRNN is also used to predict the future value of the EMV. The idea is to further exploit the equivolume potential by using a forecasting system to predict the future equivolume measurements, allowing investors to enter or exit trades earlier. The results show that the stock trading using the neural network with the VAMA and EMV outperforms the results of stock trading generated from the VAMA and EMV without neural network assistance, the simple moving averages (MA) in isolation, and the buy-and-hold trading strategy.