Vella, Vince and Ng, Wing Lon (2014) Enhancing intraday trading performance of Neural Network using dynamic volatility clustering fuzzy filter. In: 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), 2014-03-27 - 2014-03-28, London.
Vella, Vince and Ng, Wing Lon (2014) Enhancing intraday trading performance of Neural Network using dynamic volatility clustering fuzzy filter. In: 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), 2014-03-27 - 2014-03-28, London.
Vella, Vince and Ng, Wing Lon (2014) Enhancing intraday trading performance of Neural Network using dynamic volatility clustering fuzzy filter. In: 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), 2014-03-27 - 2014-03-28, London.
Abstract
We extend Neural Network (NN) trading models with an innovative and efficient volatility filter based on fuzzy c-means clustering algorithm, where the choice for the number of clusters, a frequent problem with cluster analysis, is selected by optimizing a global risk-return performance measure. Our algorithm automatically extracts fuzzy rules from past trades by taking into account the predicted return size and intraday time varying realized volatility, the latter used as a proxy for uncertainty. The model identifies unique intraday scenarios and subsequently creates a dynamic and visually apprehensible risk-return search space to control algorithmic trading decisions. Our results show that this method can be successfully applied to support high-frequency intraday trading strategies, outperforming both standard NN and buy-and-hold models.
Item Type: | Conference or Workshop Item (Paper) |
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Subjects: | Q Science > QA Mathematics > QA75 Electronic computers. Computer science |
Divisions: | Faculty of Science and Health > Computer Science and Electronic Engineering, School of > Centre for Computational Finance and Economic Agents Faculty of Science and Health > Computer Science and Electronic Engineering, School of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 19 Jul 2015 16:42 |
Last Modified: | 05 Dec 2024 12:10 |
URI: | http://repository.essex.ac.uk/id/eprint/14337 |