Financial trading systems: Neural and genetic algorithms.

摘要

In today's financial markets, when new information is disseminated with lightning speed across the investment community, individual investors turn to trading systems as a way to generate profit. Based primarily on Technical Analysis, a trading system can take advantage of a plethora of advanced modeling tools available today ranging from chart pattern recognition to genetic optimization of technical indicators and trading rules. This paper offers a systematic approach to financial system development involving neural networks and genetic algorithms. A trading system that forecasts S&P500 index is developed and analyzed.