Abstract
We propose a neural network based up-trend detector. An auto-associative neural network was trained with “up-trend” data obtained from the KOSPI 200 future price. It was then used to predict an up-trend. Simple investment strategies based on the detector achieved a two year return of 19.8% with no leverage.
Cite
CITATION STYLE
APA
Baek, J., & Cho, S. (2002). An up-trend detection using an auto-associative neural network: KOSPI 200 futures. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 2412, pp. 359–365). Springer Verlag. https://doi.org/10.1007/3-540-45675-9_53
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