Forecasting S&P 500 stock index futures with a hybrid AI system
Decision Support Systems
Hybrid Intelligent Systems for Stock Market Analysis
ICCS '01 Proceedings of the International Conference on Computational Science-Part II
Machine Learning for Sequential Data: A Review
Proceedings of the Joint IAPR International Workshop on Structural, Syntactic, and Statistical Pattern Recognition
Distribution forecasting of high frequency time series
Decision Support Systems - Special issue: Data mining for financial decision making
Algorithm Design
Forecasting stock market movement direction with support vector machine
Computers and Operations Research
Machine learning in computational finance
Machine learning in computational finance
Forecasting volatility based on wavelet support vector machine
Expert Systems with Applications: An International Journal
An empirical methodology for developing stockmarket trading systems using artificial neural networks
Expert Systems with Applications: An International Journal
A neural network with a case based dynamic window for stock trading prediction
Expert Systems with Applications: An International Journal
IJCNN'09 Proceedings of the 2009 international joint conference on Neural Networks
Assessing Stock Market Time Series Predictors Quality through a Pairs Trading System
SBRN '10 Proceedings of the 2010 Eleventh Brazilian Symposium on Neural Networks
An evolutionary approach to pattern-based time series segmentation
IEEE Transactions on Evolutionary Computation
Learning to trade via direct reinforcement
IEEE Transactions on Neural Networks
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Automated traders operate market shares without human intervention. We propose a Trading Team based on atomic traders with opportunity detectors and simple effectors. The detectors signalize trading opportunities. For each trading signal, the effectors follow deterministic rules on when and what to trade in the market. The detectors are based on Partial Least Squares. We perform some trading experiments with twelve BM&FBovespa stocks. The empirical findings indicate that the proposed trading strategy reaches a 77.26% annualized profit, outperforming by 380.07% the chosen baseline strategy with a 16.07% profit. We also investigate Multistock Resolution Strategy (MSR) performance subject to brokerage commissions and income tax. Whenever the initial investment is at least US$ 50,000, the MSR strategy provides a profit of at least 38.63%.