Skip to main content
Contribution to Book
Designing short term trading systems with artificial neural networks
Advances in Electrical Engineering and Computational Science (2009)
  • Bruce Vanstone, Bond University
  • Gavin Finnie, Bond University
  • Tobias Hahn, Bond University
Abstract

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 out-of-sample, and the superiority of the resulting ANN enhanced system is demonstrated.

Keywords
  • trading system,
  • short-term,
  • artificial neural network,
  • trading strategy,
  • Vanstone and Finnie methodology
Publication Date
January 1, 2009
Editor
S. Ao & L. Gelman
Publisher
Springer
Series
Lecture Notes in Electrical Engineering, Vol. 39
ISBN
978-90-481-2310-0 (print); 978-90-481-2311-7 (online)
Publisher Statement
Submitted Version.

Vanstone, B. J., Finnie, G., & Hahn, T. (2009). Designing short term trading systems with artificial neural networks. In S. Ao, & L. Gelman (Eds.). Advances in Electrical Engineering and Computational Science (pp. 401-409). The Netherlands: Springer Netherlands.

Access the publisher's website.

2009 HERDC submission. FoR code: 0806

© Copyright Springer Science + Business Media B.V., 2009
Citation Information
Bruce Vanstone, Gavin Finnie and Tobias Hahn. "Designing short term trading systems with artificial neural networks" The NetherlandsAdvances in Electrical Engineering and Computational Science (2009)
Available at: http://works.bepress.com/bruce_vanstone/12/