BIS record '2002/1/228'

BibTeX

@inproceedings{BIS:2002/1/228,
  author        = {Willie Bossie and
                   Chih-Cheng Hung},
  title         = {A Hybrid Mixture of Neural Networks, Fuzzy Logic and Expert Systems for the Generation of Trading Signals in a Financial Market},
  year          = {2002},
  session       = {Financial Information Systems},
  pages         = {297--303},
  crossref      = {BIS:2002/1},
  bibsource     = {BIS, http://bis.kie.ue.poznan.pl/biblio/},
  abstract      = {This research examines and analyzes the use of a combination of neural networks, fuzzy logic, and expert systems as a stock-trading tool.  Specifically, the hybrid system’s ability to predict and generate stock trading signals for the Nikkei 225 Stock Average (NIKKEI 225 Index) is tested.  Accuracy is compared against the buy-and-hold strategy for stock selection.  A feed-forward neural network using the back-propagation algorithm was trained on the NIKKEI 225 Index, with the output as a crisp trend variable.  The crisp trend variable was then fed through a fuzzy logic inference engine and combined with fuzzy trading rules as input to an expert system.  The output of the expert system is a set of trading signals.  The accuracy of the hybrid system was 15.91% compared to 10.68% for the buy-and-hold method of stock selections.  It was concluded that the hybrid system has the capability to generate reliable trading signals for the NIKKEI 225 Index and, if properly utilized, will allow the individual investor to make superior trading profits using this tool.}
}

  
@proceedings{BIS:2002/1,
  editor        = {Witold Abramowicz},
  booktitle     = {BIS 2002, 5th International Conference on Business Information Systems, Poznań, Poland, 24-25 April 2002},
  title         = {BIS 2002, 5th International Conference on Business Information Systems, Poznań, Poland, 24-25 April 2002},
  publisher     = {Department of Information Systems, Poznań University of Economics},
  isbn          = {83-916842-0-2},
  year          = {2002},
  bibsource     = {BIS, http://bis.kie.ue.poznan.pl/biblio/}
}