Chapitre d'ouvrage

Forecasting Financial Markets with Classified Tactical Signals

in ESANN 2013: 21st European Symposium on Artificial Neural Networks, Computational Intelligence And Machine Learning Bruges April 24-25-26, 2013

par Kouontchou, Patrick ; Lendasse, Amaury ; Miche, Yoan ; Maillet, Bertrand (19..-....)

Édité par ESANN 2013 - 363-368 p. - En anglais

ISBN : 978-2-87419-081-0


The financial market dynamics can be characterized by macro-economic, micro-financial and market risk indicators, used as lead- ing indicators by market professionals. In this article, we propose a method to identify market states integrating two classification algorithms: a Robust Kohonen Self-Organising Maps one and a CART one. After studying the market’s states separation using the former, we use the latter to characterize the economic conditions over time and to compute the conditional probabilities of related market states.

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