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Francis E. H. Tay

Ordinary Shares. Exotic Methods: Financial Forecasting Using Data Mining Techniques

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ISBN: 9812380752
Издательство: Imperial College Pr
Год издания: 2003
Book DescriptionExotic methods refer to specific functions within general soft computing methods such as genetic algorithms, neural networks and rough sets theory. They are applied to ordinary shares for a variety of financial purposes, such as portfolioselection and optimization, classification of market states, forecasting of market states and data mining. This is in contrast to the wide spectrum of work done on exotic financial instruments, wherein advanced mathematics is used to construct financial instruments for hedging risks and for investment. In this book, particular aspects of the general method are used to create interesting applications. For instance, genetic niching produces a family of portfolios for the trader to choose from. Support vector machines, a special form of neural networks, forecast the financial markets; such a forecast is on market states, of which there are three ? uptrending, mean reverting and downtrending. A self-organizing map displays in a...