Trading Equity Index Futures With a Neural Network

By R. Trippi, Duane DeSieno. 1992

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Citations in the corpus

Classification-based financial markets prediction using deep neural networks (2016, neutral): “While the application of artificial neural networks (ANNs) to time series methods are well documented (Faraway and Chatfield, 1998; Refenes, 1994; Trippi and DeSieno, 1992; Kaastra and Boyd, 1995) their proneness to over-fitting, convergence problems, and difficulty of implementation raised concerns”
Genetic algorithms approach to feature discretization in artificial neural networks for the prediction of stock price index (2000, methodology): “Choi, Lee and Rhee (1995) and Trippi and DeSieno (1992) predicted the daily direction of change in the S&P 500 index futures using ANN.”
Evaluating Consumer Loans using Neural Networks (2003, background): “Trippi and DeSieno (1992) outline a specific neural network-based intra-day trading system for S&P 500 futures contracts.”
Evolving Least Squares Support Vector Machines for Stock Market Trend Mining (2009, methodology): “In all neural network applications, multi-layer feedforward neural network (MLFNN) is used most frequently for stock market price prediction [1, 6-12].”
Sequence classification of the limit order book using recurrent neural networks (2017, methodology): “The application of artiﬁcial neural networks (ANNs) to uni-variate ﬁnancial time series methods are well documented (Faraway and Chatﬁeld, 1998; Refenes, 1994; Trippi and DeSieno, 1992; Kaastra and Boyd, 1995).”
Financial time series forecasting using support vector machines (2003, background): “The early days of these studies focused on application of ANNs to stock market prediction (for instance [2] [6] [11] [13] [19] [23]).”
A modern neural network model to do stock market timing on the basis of the ancient investment technique of Japanese Candlestick (2011, methodology): “Applying technical analysis, Trippi and DeSieno (1992) discovered the effectiveness of a specific NN trading system for S& P 500 index futures contracts.”