Sequential optimizing investing strategy with neural networks

Authors:
Ryo Adachi;Akimichi Takemura
Affiliations:
Graduate School of Information Science and Technology, University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-8656, Japan and Institute of Industrial Science, University of Tokyo, 4-6-1 Komaba, Me ...;Graduate School of Information Science and Technology, University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-8656, Japan
Venue:
Expert Systems with Applications: An International Journal
Year:
2011

Citing 3
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Abstract

In this paper we propose an investing strategy based on neural network models combined with ideas from game-theoretic probability of Shafer and Vovk. Our proposed strategy uses parameter values of a neural network with the best performance until the previous round (trading day) for deciding the investment in the current round. We compare performance of our proposed strategy with various strategies including a strategy based on supervised neural network models and show that our procedure is competitive with other strategies.