Autore
Pettenuzzo, Giulio

Titolo
Utilizzo della rete neurale nella costruzione di un trading system
Periodico
Università degli studi di Trento. Dipartimento di Economia. Discussion papers
Anno: 1998 - Fascicolo: 11 - Pagina iniziale: 1 - Pagina finale: 20

Today's technical traders have the opportunity to use sophisticated rnethods for analyzing and developing trading strategies. More traders are looking at artificial intelligence to develop new trading strategies such as forecasting rnarket rnovernents. Artificial neural networks are rnathematical sirnulation of biological neural networks, in which a neural net is shown data and instructed to respond in particular way. The neural network learns the interrelationships between the stimulus and response by organizing itself internally. This paper describes a neural network which uses the prediction of a portfolio of strategies, and contextual information, in order to switch between trading strategies. The key idea is to predict which of the strategies is likely to perforrn best/worse in the current context, and thus minimise losses.




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