A neural network based multi-class trading strategy for the S\&P 500 index

DOI10.1007/978-3-030-93699-0_6MaRDI QIDQ2100518zbMATH OpenOpenAlexFDO

Authors Leo Soukko, Christoph Lohrmann, Pasi Luukka

Publication date 22 November 2022

Full work available at URL https://doi.org/10.1007/978-3-030-93699-0_6

zbMATH Keywords

multi-class problemneural networksS\&P 500 indexthresholdstrading strategy

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial markets (91G15)

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Cites work

• 10.1162/153244303322753616
• Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
• scientific article; zbMATH DE number 1196641 (Why is no real title available?)
• Improving stock closing price prediction using recurrent neural network and technical indicators
• Neural networks and deep learning. A textbook
• Pattern recognition and machine learning.
• Prediction of stock market index movement by ten data mining techniques
• Random forests
• Selection of relevant features and examples in machine learning
• Theoretical comparison between the Gini Index and Information Gain criteria
• Wrappers for feature subset selection

Cited in

(3)

• Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
• Classifying trend movements in the MSCI U.S.A. capital market index -- a comparison of regression, ARIMA and neural network methods
• Neural networks in financial trading

Describes a project that uses

Uses Software

• ElemStatLearn

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