Abstract
The problem is to test the weak hypothesis of efficient markets through three neural networks that can predict the trends of investment assets such as: The Dow Jones, gold and Euro dollar, according to theories of technical analysis to automate positions of both long and short investment in the Spot market.
With regard to forecasting time series, multiple approaches have been tested, through statistical models such as [1,2,3], where forecasts are made from different information sources with characteristics differentiated (sasonality, tendency, periodicity), however, other actors have begun to gain strength by getting the first places in international competitions, this is the case of Neural Networks, in works published as [4,5,6] the results have shown that this type of model offers a real opportunity to work with time series of different characteristics.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Singh, S., Taylor, J.H.: Statistical analysis of environment Canada’s wind speed data. In: 2012 25th IEEE Canadian Conference on Electrical and Computer Engineering (CCECE), Montreal, QC, pp. 1–5 (2012)
Asami, A., Yamada, T., Saika, Y.: Probabilistic inference of environmental factors via time series analysis using mean-field theory of ising model. In: 2013 13th International Conference on Control, Automation and Systems (ICCAS), Gwangju, pp. 1209–1212 (2013)
Shenoy, D.S., Gorinevsky, D.: Stochastic optimization of power market forecast using non-parametric regression models. In: 2015 IEEE Power & Energy Society General Meeting, Denver, CO, pp. 1–5 (2015)
Han, M., Xi, J., Xu, S., Yin, F.L.: Prediction of chaotic time series based on the recurrent predictor neural network. IEEE Trans. Sig. Process. 52, 3409–3416 (2005)
Cherif, A., Cardot, H., Boné, R.: SOM time series clustering and prediction with recurrent neural networks. Neurocomputing 74, 1936–1944 (2011)
de Aquino, R., Souza, R., Neto, O., Lira, M., Carvalho, M., Ferreira, A.: Echo state networks, artificial neural networks and fuzzy systems models for improve short-term wind speed forecasting. In: 2015 International Joint Conference on Neural Networks (IJCNN), Killarney, pp. 1–8 (2015)
Murphy, K.: Executive Compensation. Marshal School of Business (1999)
Orjuela-Cañón, A.D., Posada-Quintero, H.F., Valencia, C.H., Mendoza, L.: On the use of neuroevolutive methods as support tools for diagnosing appendicitis and tuberculosis. In: Figueroa-García, J.C., López-Santana, E.R., Rodriguez-Molano, J.I. (eds.) WEA 2018. CCIS, vol. 915, pp. 171–181. Springer, Cham (2018). https://doi.org/10.1007/978-3-030-00350-0_15
Estévez, P.G.: Aplicaciones de las Redes Neuronales en las Finanzas. Facultad de Ciencias Económicas y Empresariales, Universidad Complutense (2002)
Murphy, J.: Análisis técnico de los mercados financieros. Gestión, Barcelona (2003)
Pina, A.: Análisis técnico de mercados financieros basado en técnicas de inteligencia artificial (2014)
Roncancio Millán, C.A., Valenzuela Reinoso, A.F.: Desarrollo de un modelo de Trading algorítmico para índices bursátiles y divisas (2010)
Villa, F., Muñoz, F., Henao, W.: Pronóstico de las tasas de cambio. Una aplicación al Yen Japonés mediante redes neuronales artificiales. Scientia et technica (2006)
González Martel, C.: Nuevas perspectivas del análisis técnico de los mercados bursátiles mediante el aprendizaje automático: aplicaciones al índice general de la bolsa de Madrid (2003)
Cruz, E.A., Restrepo, J.H., Varela, P.M.: Pronóstico del índice general de la Bolsa de Valores de Colombia usando redes neuronales. Scientia et technica (2009)
Castellanos Vargas, O.E., Jaramillo Jaramillo, J.M.: Cuantificación de riesgo en estrategias de análisis técnico del mercado de divisas usando redes neuronales (2007)
Kaufman, P.J.: Trading Systems and Methods. Wiley, Hoboken (2005)
Paoli, C., Voyant, C., Muselli, M., Nivet, M.: Forecasting of preprocessed daily solar radiation time series using neural networks. Solar Energy 84, 2146–2160 (2010)
Valencia, C.H., Quijano, S.N.: Modelo de optimización en la gestión de inventarios mediante algoritmos genéticos. Iteckne 8(2), 156–162 (2011). ISSN 2339-3483
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2019 Springer Nature Switzerland AG
About this paper
Cite this paper
Valencia Niño, C.H., Sanabria, A., Pinto, C., Orjuela, D. (2019). Prediction and Decision Making System Through Neural Networks for Investment Assets: Gold, Euro Dollar and Dow Jones. In: Figueroa-García, J., Duarte-González, M., Jaramillo-Isaza, S., Orjuela-Cañon, A., Díaz-Gutierrez, Y. (eds) Applied Computer Sciences in Engineering. WEA 2019. Communications in Computer and Information Science, vol 1052. Springer, Cham. https://doi.org/10.1007/978-3-030-31019-6_26
Download citation
DOI: https://doi.org/10.1007/978-3-030-31019-6_26
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-31018-9
Online ISBN: 978-3-030-31019-6
eBook Packages: Computer ScienceComputer Science (R0)