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Financial Trading Systems Using Artificial Neural Networks, Bruce Vanstone, Gavin Finnie
Financial Trading Systems Using Artificial Neural Networks, Bruce Vanstone, Gavin Finnie
Bruce Vanstone
Soft computing represents that area of computing adapted from the physical sciences. Artificial intelligence techniques within this realm attempt to solve problems by applying physical laws and processes. This style of computing is particularly tolerant of imprecision and uncertainty, making the approach attractive to those researching within “noisy” realms, where the signal-to-noise ratio is quite low. Soft computing is normally accepted to include the three key areas of fuzzy logic, artificial neural networks, and probabilistic reasoning (which include genetic algorithms, chaos theory, etc.). The arena of investment trading is one such field where there is an abundance of noisy data. …
Developing High Frequency Foreign Exchange Trading Systems, Bruce Vanstone, Tobias Hahn, Gavin Finnie
Developing High Frequency Foreign Exchange Trading Systems, Bruce Vanstone, Tobias Hahn, Gavin Finnie
Bruce Vanstone
The foreign exchange (FX) spot markets are well suited to high frequency trading. They are highly liquid, allow leverage, and trade 24 hours a day, 5 days a week. This paper documents and tests the stylized facts known about high-frequency FX markets. It then postulates a high frequency trading system on the basis of these stylized facts. Benchmarking confirms the robustness of the approach, demonstrating the role algorithmic trading has to play in higher frequency trading environments.
Trading Foreign Currency Using Artificial Neural Network Strategies, Bruce Vanstone, Gavin Finnie
Trading Foreign Currency Using Artificial Neural Network Strategies, Bruce Vanstone, Gavin Finnie
Bruce Vanstone
The foreign exchange (FX) markets represent an enormous opportunity for traders. These markets have huge liquidity, trade 24 hours a day (except weekends), and allow the use of leverage. This paper takes a simple FX trading strategy and shows how to substantially improve it. using a neural network methodology originally developed by Vanstone & Finnie for creating and enhancing stockmarket trading systems. This result demonstrates the important role neural networks have to play within complex and noisy environments, such as tha provided by the intraday FX markets.
Momentum Returns To S&P/Asx 100 Constituents, Bruce Vanstone, Tobias Hahn, Gavin Finnie
Momentum Returns To S&P/Asx 100 Constituents, Bruce Vanstone, Tobias Hahn, Gavin Finnie
Bruce Vanstone
No abstract provided.