TY - GEN
T1 - Adaptive supervised learning decision networks for traders and portfolios
AU - Xu, Lei
AU - Cheung, Yiu Ming
N1 - This work was supported by HK RGC Earmarked Grant CUHK 484 / 95E, and Ho Sin-Hang Education Endowment Fund HSH 95 / 02.
Publisher Copyright:
© IEEE
PY - 1997/3/24
Y1 - 1997/3/24
N2 - We propose a trading and portfolio management system named Adaptive Supervised Learning Decision Network, which learns the best past investment decision directly instead of making a good prediction first and then an investment decision based on the prediction. Without any extra efforts, this network can be realized directly by any existing adaptive supervised learning neural networks. Here, we propose to use a recent proposed adaptive Extended Normalized Radial Basis Function (ENRBF) network with Matched Competitive Learning (MCL). We demonstrate with experimental results that the proposed approach can bring in appreciable profit on trading in the foreign exchange market.
AB - We propose a trading and portfolio management system named Adaptive Supervised Learning Decision Network, which learns the best past investment decision directly instead of making a good prediction first and then an investment decision based on the prediction. Without any extra efforts, this network can be realized directly by any existing adaptive supervised learning neural networks. Here, we propose to use a recent proposed adaptive Extended Normalized Radial Basis Function (ENRBF) network with Matched Competitive Learning (MCL). We demonstrate with experimental results that the proposed approach can bring in appreciable profit on trading in the foreign exchange market.
UR - https://www.scopus.com/pages/publications/0030675520
U2 - 10.1109/CIFER.1997.618938
DO - 10.1109/CIFER.1997.618938
M3 - Conference proceeding
AN - SCOPUS:0030675520
SN - 0780341333
T3 - Proceedings of the IEEE/IAFE Computational Intelligence for Financial Engineering
SP - 206
EP - 212
BT - Proceedings of the IEEE/IAFE 1997 Computational Intelligence for Financial Engineering (CIFEr)
PB - IEEE
T2 - 1997 IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, CIFEr
Y2 - 23 March 1997 through 25 March 1997
ER -