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Full-Text Articles in Business
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.
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.
Designing Short Term Trading Systems With Artificial Neural Networks, Bruce Vanstone, Gavin Finnie, Tobias Hahn
Designing Short Term Trading Systems With Artificial Neural Networks, Bruce Vanstone, Gavin Finnie, Tobias Hahn
Bruce Vanstone
There is a long established history of applying Artificial Neural Networks (ANNs) to financial data sets. In this paper, the authors demonstrate the use of this methodology to develop a financially viable, short-term trading system. When developing short-term systems, the authors typically site the neural network within an already existing non-neural trading system. This paper briefly reviews an existing medium-term long-only trading system, and then works through the Vanstone and Finnie methodology to create a short-term focused ANN which will enhance this trading strategy. The initial trading strategy and the ANN enhanced trading strategy are comprehensively benchmarked both in-sample and …