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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Meng-feng Yen Tsung-nan Chou Hung-chih Li Ying-yue Ho |
| Copyright Year | 2007 |
| Description | Author affiliation: Nat. Cheng Kung Univ., Tainan (Meng-feng Yen) |
| Abstract | In this article, we use both neural network (hereafter NN) and genetic programming (hereafter GP) to forecast the trend of the price spread between Taiwan Stock Exchange Electronic Index Futures (hereafter TE) and Taiwan Stock Exchange Finance Sector Index Futures (hereafter TF). A variety of technical indicators are used as the inputs to our two models. We tend to long one contract and short another if the next-day return of the former is predicted to be larger than the latter. If the spread trend is predicted to change its direction, we close off the position and open a new position completely contrary to the closed one. We compare the trading performances of this momentum strategy to the day trade strategy, i.e. closing off our positions before the market close ever day. We find that the momentum strategy tends to outperform the day trade strategy and that the BPNN model is superior to the GP model under both strategies whilst both are profitable. |
| Starting Page | 192 |
| Ending Page | 192 |
| File Size | 177778 |
| Page Count | 1 |
| File Format | |
| ISBN | 0769528821 |
| DOI | 10.1109/ICICIC.2007.614 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2007-09-05 |
| Publisher Place | Japan |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Chaos Neural networks Genetic programming Finance Artificial neural networks Banking Economic forecasting Technology forecasting Stock markets Contracts |
| Content Type | Text |
| Resource Type | Article |
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