Neural Networks and the Financial Markets: Predicting, by John G. Taylor (auth.), Jimmy Shadbolt MSc, John G. Taylor PDF

By John G. Taylor (auth.), Jimmy Shadbolt MSc, John G. Taylor BA, BSc, MA, PhD, FlnstP (eds.)

ISBN-10: 1447101510

ISBN-13: 9781447101512

ISBN-10: 1852335319

ISBN-13: 9781852335311

This quantity seems at monetary prediction from a extensive variety of views. It covers:
- the commercial arguments
- the practicalities of the markets
- how predictions are used
- how predictions are made
- how predictions are changed into anything usable (asset destinations)
It combines a dialogue of normal concept with cutting-edge fabric on a variety of info processing ideas as utilized to state-of-the-art monetary difficulties. all of the innovations are validated with actual examples utilizing real industry info, and express that it truly is attainable to extract info from very noisy, sparse facts units.
Aimed essentially at researchers in monetary prediction, time sequence research and data processing, this e-book can also be of curiosity to quantitative fund managers and different pros interested by monetary prediction.

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Additional resources for Neural Networks and the Financial Markets: Predicting, Combining and Portfolio Optimisation

Example text

To avoid a disparity between the input sets used across different modelling technologies we therefore have to remove disparate candidate series at the start using the criterion we have mentioned above: that series only have a white noise spectrum. We have also analysed the outlier structure of input series, although we have not used this as a strong criterion since a Neural Networks and theFinancial Markets 22 fewoutliers are not bad from a modelling point of view, as they may have a beneficial influence on the model parameters by reducing variance of the estimates.

The theory implies that asset returns are negatively correlated for some holding period which provides predictability in stock returns. This theory has been tested using the contrarian investment rule, in which stocks that have recently increased in value are sold and stocks that have recently decreased in value are purchased. Results from these studies seems to suggest that stock markets do overreact. , 1986;Lo and MacKinlay, 1990). However, results may also be due to "thin" or non-synchronous trading between stocks where prices are mistakenly sampled simultaneously.

For example, a recent modelling methodology by Burgess (1999) adapts the variance ratio statistic to provide novel tests for predictability for financial asset returns and combinations of assets. He shows how these statistics provide a practical means of identifying potential time series which may be candidate target variables of a forecasting model. 6 Summary Evidence for predictability has emerged against the backdrop of a classical view which strongly upholds the random walk model of asset returns.

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Neural Networks and the Financial Markets: Predicting, Combining and Portfolio Optimisation by John G. Taylor (auth.), Jimmy Shadbolt MSc, John G. Taylor BA, BSc, MA, PhD, FlnstP (eds.)


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