Intraday trading rules based on Self Organizing Maps

  • Marina Resta
Schlagworte: Self Organizing Maps, Intraday prices, Trading Rules, DDC: 004 (Data processing, computer science, computer systems)

Abstract

Working with five minutes data, we have studied a number of trading rules based on the responses of Kohonen's Self Organizing Maps, evaluating the results with both financial and statistical indicators, as well as by comparison with classical buy and hold strategy. At the current stage our major findings may be summarized as follows: a) Kohonen's maps are helpful to localize profitable intraday patterns, and b) they generally make possible to achieve higher performances than common buy and hold strategy.
Veröffentlicht
2007-12-31