Sequential optimizing investing strategy with neural networks

Details Sequential optimizing investing strategy with neural networks Sequential optimizing investing strategy with neural networks

2010-02-11

arxiv.org/abs/1002.2265v1

Expert Systems with Applications 38 (2011) 12991-12998

Economy

Quantitative Finance

Computational Finance

Scientific paper

In this paper we propose an investing strategy based on neural network models combined with ideas from game-theoretic probability of Shafer and Vovk. Our proposed strategy uses parameter values of a neural network with the best performance until the previous round (trading day) for deciding the investment in the current round. We compare performance of our proposed strategy with various strategies including a strategy based on supervised neural network models and show that our procedure is competitive with other strategies.

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