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Trading In The Australian Stockmarket Using Artificial Neural Networks, Bruce Vanstone
Trading In The Australian Stockmarket Using Artificial Neural Networks, Bruce Vanstone
Bruce Vanstone
This thesis focuses on training and testing neural networks for use within stockmarket trading systems. It creates and follows a well defined methodology for developing and benchmarking trading systems which contain neural networks.
Four neural networks and consequently four trading systems are presented within this thesis. The neural networks are trained using all fundamental or all technical variables, and are trained on different segments of the Australian stockmarket, namely all ordinary shares, and the S&P/ASX200 constituents.
Three of the four trading systems containing neural networks significantly outperform the respective buy-and-hold returns for their segments of the market, demonstrating that neural …