Trend detection using auto-associative neural networks: Intraday KOSPI 200 futures

Trend detection using auto-associative neural networks: Intraday KOSPI 200 futures

This paper reports the results of a new neural network based trend detector. An auto-associative neural network was trained with the "trend" data obtained from the intra-day KOSPI 200 future price. It was then used to predict a trend. Simple investment strategies based on the detector achi...

Ausführliche Beschreibung

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Bibliographische Detailangaben
Hauptverfasser: Junmyung Lee, Sungzoon Cho, Jinwoo Baek
Format: Tagungsbericht
Sprache:eng
Schlagworte:
Data mining
Detectors
Electronic mail
Industrial engineering
Investments
Neural networks
Pattern analysis
Pattern classification
Pattern recognition
Training data
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Beschreibung
Zusammenfassung:This paper reports the results of a new neural network based trend detector. An auto-associative neural network was trained with the "trend" data obtained from the intra-day KOSPI 200 future price. It was then used to predict a trend. Simple investment strategies based on the detector achieved a one-year return of 31.2 points with no leverage.
DOI:10.1109/CIFER.2003.1196290