Date of this Version

1-1-2009

Document Type

Book Chapter

Publication Details

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.

Access the publisher's website.

2009 HERDC submission. FoR code: 0806

© Copyright Springer Science + Business Media B.V., 2009

ISBN

978-90-481-2310-0 (print); 978-90-481-2311-7 (online)

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.

This document has been peer reviewed.