Neural Networks
Parallel distributed processing: explorations in the microstructure of cognition, vol. 1: foundations
Advanced Methods in Neural Computing
Advanced Methods in Neural Computing
Understanding Neural Networks; Computer Explorations
Understanding Neural Networks; Computer Explorations
A hybrid model for exchange rate prediction
Decision Support Systems
Expert Systems with Applications: An International Journal
A TSK type fuzzy rule based system for stock price prediction
Expert Systems with Applications: An International Journal
Multiscale rough set data analysis with application to stock performance modeling
Intelligent Data Analysis
Expert Systems with Applications: An International Journal
AusDM '07 Proceedings of the sixth Australasian conference on Data mining and analytics - Volume 70
Evolving and clustering fuzzy decision tree for financial time series data forecasting
Expert Systems with Applications: An International Journal
Surveying stock market forecasting techniques - Part II: Soft computing methods
Expert Systems with Applications: An International Journal
Profiling blood donors in Egypt: A neural network analysis
Expert Systems with Applications: An International Journal
A neuro-computational intelligence analysis of the ecological footprint of nations
Computational Statistics & Data Analysis
Recognition of Western style musical genres using machine learning techniques
Expert Systems with Applications: An International Journal
An artificial neural network (p,d,q) model for timeseries forecasting
Expert Systems with Applications: An International Journal
Financial market trading system with a hierarchical coevolutionary fuzzy predictive model
IEEE Transactions on Evolutionary Computation - Special issue on computational finance and economics
Evolving least squares support vector machines for stock market trend mining
IEEE Transactions on Evolutionary Computation - Special issue on computational finance and economics
IEEE Transactions on Systems, Man, and Cybernetics, Part C: Applications and Reviews
Modeling and adaptive control of a camless engine using neural networks and estimation techniques
ASM '07 The 16th IASTED International Conference on Applied Simulation and Modelling
A hybrid forecast marketing timing model based on probabilistic neural network, rough set and C4.5
Expert Systems with Applications: An International Journal
Time Series Forecasting Using Hybrid Neuro-Fuzzy Regression Model
RSFDGrC '09 Proceedings of the 12th International Conference on Rough Sets, Fuzzy Sets, Data Mining and Granular Computing
Computationally efficient FLANN-based intelligent stock price prediction system
IJCNN'09 Proceedings of the 2009 international joint conference on Neural Networks
Kernel methods for short-term portfolio management
Expert Systems with Applications: An International Journal
A model of portfolio optimization using time adapting genetic network programming
Computers and Operations Research
Expert Systems with Applications: An International Journal
An ensemble of neural networks for stock trading decision making
ICIC'09 Proceedings of the Intelligent computing 5th international conference on Emerging intelligent computing technology and applications
Expert Systems with Applications: An International Journal
Expert Systems with Applications: An International Journal
Expert Systems with Applications: An International Journal
Neural network prediction of ascorbic acid degradation in green asparagus during thermal treatments
Expert Systems with Applications: An International Journal
Municipal credit rating modelling by neural networks
Decision Support Systems
A neuro-computational intelligence analysis of the global consumer software piracy rates
Expert Systems with Applications: An International Journal
Expert Systems with Applications: An International Journal
A new class of hybrid models for time series forecasting
Expert Systems with Applications: An International Journal
Correlating financial time series with micro-blogging activity
Proceedings of the fifth ACM international conference on Web search and data mining
AI'06 Proceedings of the 19th Australian joint conference on Artificial Intelligence: advances in Artificial Intelligence
Intelligence decision trading systems for stock index
ACIIDS'12 Proceedings of the 4th Asian conference on Intelligent Information and Database Systems - Volume Part III
Simultaneous optimization of artificial neural networks for financial forecasting
Applied Intelligence
Hybridization of the probabilistic neural networks with feed-forward neural networks for forecasting
Engineering Applications of Artificial Intelligence
International Journal of Data Analysis Techniques and Strategies
Algorithmic determination of the maximum possible earnings for investment strategies
Decision Support Systems
A Novel Fuzzy Associative Memory Architecture for Stock Market Prediction and Trading
International Journal of Fuzzy System Applications
Stock price prediction based on a complex interrelation network of economic factors
Engineering Applications of Artificial Intelligence
Automated trading with performance weighted random forests and seasonality
Expert Systems with Applications: An International Journal
Fuzzy artificial neural network p, d, q model for incomplete financial time series forecasting
Journal of Intelligent & Fuzzy Systems: Applications in Engineering and Technology
A hybrid FLANN and adaptive differential evolution model for forecasting of stock market indices
International Journal of Knowledge-based and Intelligent Engineering Systems
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In this study, we attempt to model and predict the direction of return on market index of the Taiwan Stock Exchange, one of the fastest growing financial exchanges in developing Asian countries. Our motivation is based on the notion that trading strategies guided by forecasts of the direction of price movement may be more effective and lead to higher profits. The probabilistic neural network (PNN) is used to forecast the direction of index return after it is trained by historical data. Statistical performance of the PNN forecasts are measured and compared with that of the generalized methods of moments (GMM) with Kalman filter. Moreover, the forecasts are applied to various index trading strategies, of which the performances are compared with those generated by the buy-and-hold strategy as well as the investment strategies guided by forecasts estimated by the random walk model and the parametric GMM models. Empirical results show that the PNN-based investment strategies obtain higher returns than other investment strategies examined in this study. Influences of length of investment horizon and commission rate are also considered.