Sermpinis, Georgios and Verousis, Thanos and Theofilatos, Konstantinos (2016) 'Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data-Snooping Bias.' Journal of Forecasting, 35 (1). pp. 1-12. ISSN 0277-6693

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Abstract

In this paper, we present two neural‐network‐based techniques: an adaptive evolutionary multilayer perceptron (aDEMLP) and an adaptive evolutionary wavelet neural network (aDEWNN). The two models are applied to the task of forecasting and trading the SPDR Dow Jones Industrial Average (DIA), the iShares NYSE Composite Index Fund (NYC) and the SPDR S&P 500 (SPY) exchange‐traded funds (ETFs). We benchmark their performance against two traditional MLP and WNN architectures, a smooth transition autoregressive model (STAR), a moving average convergence/divergence model (MACD) and a random walk model. We show that the proposed architectures present superior forecasting and trading performance compared to the benchmarks and are free from the limitations of the traditional neural networks such as the data‐snooping bias and the time‐consuming and biased processes involved in optimizing their parameters

Item Type:	Article
Uncontrolled Keywords:	artificial intelligence; financial forecasting; data snooping; trading
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre
SWORD Depositor:	Elements
Depositing User:	Elements
Date Deposited:	15 Mar 2019 15:21
Last Modified:	06 Jan 2022 13:53
URI:	http://repository.essex.ac.uk/id/eprint/24180

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