Sunday, May 14, 2006

Reply to Zendini comments

Thanks a lot for you comment Zendini.. i really appreciate the fact that you decided to express your view on the subject...I still believe that NN have huge potential... i have recently read dozens of papers about empirical results starting from 1988... and i'm doing research on s&p500 data with very good results... I have also written a paper for a university project that i can't, unfortunately post on the blog for obvious reasons... so if you have doubts about the subject please refere to the following sources:

J. Loofbourrow & T. Loofbourrow, “Neural Networks for Trading”, AI in Finance (Special Report), 42-51
J. Zirilli, Financial Prediction Using Neural Networks, London, 1997, International Thompson Computer Press
A. Skabar & I. Cloete, Neural Networks, Financial Trading and the Efficient Markets Hypothesis, XXV Australasian Computer Science Conference 2002, Australian Computer Society, Inc.
Shaikh A. Hamid & Z. Iqbal, Using neural networks for forecasting volatility of S&P 500 Index futures prices, Journal of Business Research 57 (2004) 1116-1125.
K. Kohara, T.Ishikawa, Y.Fukuhara, Yukihiro Nakamura, Stock Price Prediction Using Prior Knowledge and Neural Networks, Intelligent Systems in Accounting, Finance and Management vol 6: 11-22, 1997
J. Kamruzzaman & R. Sarker, Comparing ANN Based Models with ARIMA for Prediction of Forex Rates.
G. E. P. Box and G. M. Jenkins, Time Series Analysis: Forecasting and Control Holden-Day, San Francisco, CA
G. Zhang and M.Y. Hu, Neural Network Forecasting of the British Pound/USD Dollar Exchange Rate, “OMEGA; Int. Journal of Management Science, 26, pp 495-506, 1998
G. Deboeck, Trading on the Edge: Neural, Genetic and Fuzzy Systems for Chaotic Financial Markets
An-Sing Chen, Hazem Daouk, Mark T. Leung, Application of Neural Networks to an Emerging Financial Market: Forecasting and Trading the Taiwan Stock Index 2001
Wei Cheng, Lorry Wagner, Chien-Hua Lin, Forecasting the 30-year U.S. Treasury Bond with a System of Neural Networks,NeuroVe$t Journal, January/February 1996
S. Dutta and S. Sheckhar, Bond Rating: A Non-Conservative Application of Neural Networks, Proceedings of the IEEE International Conference on Neural Networks,1998, 2, 443-450
J. Moody and J. Utans, Architecture Selection Strategies for Neural Networks, In. A. P. Refenes, Ed., Neural Networks in the Capital Markets, Chichester, England, 1995, John Wiley & Sons, 277-300.
T. Lubecke, Kyung Doo Nam, R. Markland, C. Kwok, Combining Foreign Exchange Forecasts using Neural Networks, 1998, Global Finance Journal 9(1): 5-27
A. Fadlalla & Chien-Hua Lin, An Analysis of the Applications of Neural Networks in Finance, 2001, Interfaces 31: 4 July-August 2001 (pp. 112-122), Informs.

Have a nice day!

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