메뉴 건너뛰기




Volumn 17, Issue 2, 2007, Pages 93-111

Quantitative trading of gold and silver using nonlinear models

Author keywords

Gold; Higher order neural networks; Multilayer perceptron; Nearest neighbours; Silver; Trading models

Indexed keywords

FINANCIAL MARKETS; HIGHER ORDER NEURAL NETWORKS (HONN); NONLINEAR MODELS; QUANTITATIVE TRADING;

EID: 34250175411     PISSN: 12100552     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (8)

References (28)
  • 1
    • 0033235662 scopus 로고    scopus 로고
    • Nonparametric, Nonlinear, Short-Term Forecasting: Theory and Evidence for Non linearities in the Commodity Markets
    • Agnon Y., Golan A., Shearer M.: Nonparametric, Nonlinear, Short-Term Forecasting: Theory and Evidence for Non linearities in the Commodity Markets, Economic Letters, 65, 1999, pp. 293-299.
    • (1999) Economic Letters , vol.65 , pp. 293-299
    • Agnon, Y.1    Golan, A.2    Shearer, M.3
  • 2
    • 34250169098 scopus 로고    scopus 로고
    • High Frequency Exchange rate Forecasting by the Nearest Neighbours Method
    • Dunis, C. and Zhou, B, eds, John Wiley, Chichester
    • Alexandre H., Girerd-Potin I., Tarramasco O.: High Frequency Exchange rate Forecasting by the Nearest Neighbours Method. In: Dunis, C. and Zhou, B. [eds.], Nonlinear Modelling of High frequency Financial Time Series, John Wiley, Chichester, 1998, pp. 279-291.
    • (1998) Nonlinear Modelling of High frequency Financial Time Series , pp. 279-291
    • Alexandre, H.1    Girerd-Potin, I.2    Tarramasco, O.3
  • 3
    • 0344113198 scopus 로고
    • Forecasting the Price of Gold: A Fundamentalist Approach
    • Baker S. A., Van Tassel R. C.: Forecasting the Price of Gold: A Fundamentalist Approach, Atlantic Economic Journal, 13, 1985, pp. 43-51.
    • (1985) Atlantic Economic Journal , vol.13 , pp. 43-51
    • Baker, S.A.1    Van Tassel, R.C.2
  • 5
    • 0030717106 scopus 로고    scopus 로고
    • Neural Network Training Techniques for a Gold Trading Model, Computational Intelligence for Financial Engineering (CIFEr)
    • Brauner E. O., Dayhoff J. E., Xiaoyun S., Hormby S.: Neural Network Training Techniques for a Gold Trading Model, Computational Intelligence for Financial Engineering (CIFEr), Proceedings of the IEEE/IAFE, 1997, pp. 57-63.
    • (1997) Proceedings of the IEEE/IAFE , pp. 57-63
    • Brauner, E.O.1    Dayhoff, J.E.2    Xiaoyun, S.3    Hormby, S.4
  • 7
    • 34250197983 scopus 로고    scopus 로고
    • Nonlinear Dependence in Gold and Silver Futures: Is it Chaos?
    • Chatrath A., Adrangi B., Shank T.: Nonlinear Dependence in Gold and Silver Futures: Is it Chaos?, The American Economist, 45, 2, 2001, pp. 25-32.
    • (2001) The American Economist , vol.45 , Issue.2 , pp. 25-32
    • Chatrath, A.1    Adrangi, B.2    Shank, T.3
  • 8
    • 84947302321 scopus 로고    scopus 로고
    • Application of Advanced Regression Analysis for Trading and Investment
    • Dunis, C, Laws, J. and Naïm, P, eds, John Wiley, Chichester
    • Dunis C., Williams M.: Application of Advanced Regression Analysis for Trading and Investment. In: Dunis, C., Laws, J. and Naïm, P. [eds.], Applied Quantitative Methods for Trading and Investment, John Wiley, Chichester, 2003, pp. 1-39.
    • (2003) Applied Quantitative Methods for Trading and Investment , pp. 1-39
    • Dunis, C.1    Williams, M.2
  • 9
    • 30744469859 scopus 로고    scopus 로고
    • Modelling with Recurrent and Higher Order Networks: A Comparative Analysis
    • Dunis C. L, Laws J., Evans B.: Modelling with Recurrent and Higher Order Networks: A Comparative Analysis, Neural Network World, 6, 5, 2005, pp. 509-523.
    • (2005) Neural Network World , vol.6 , Issue.5 , pp. 509-523
    • Dunis, C.L.1    Laws, J.2    Evans, B.3
  • 10
    • 33746209184 scopus 로고    scopus 로고
    • Dunis C. L., Laws J., Evans B.: Modelling and Trading the Soybean-Oil Crush Spread with Recurrent and Higher Order Networks: A Comparative Analysis, Neural Network World, 3, 6, 2006-a, pp. 193-213.
    • Dunis C. L., Laws J., Evans B.: Modelling and Trading the Soybean-Oil Crush Spread with Recurrent and Higher Order Networks: A Comparative Analysis, Neural Network World, 3, 6, 2006-a, pp. 193-213.
  • 12
    • 70350321098 scopus 로고
    • Measuring the Strangeness of Gold and Silver Rates of Return
    • Frank M., Stengos T.: Measuring the Strangeness of Gold and Silver Rates of Return, Review of Economic Studies, 56, 188, 1989, pp. 553-567.
    • (1989) Review of Economic Studies , vol.56 , Issue.188 , pp. 553-567
    • Frank, M.1    Stengos, T.2
  • 13
    • 0023513717 scopus 로고
    • Learning Invariance and Generalization in High-Order Neural Networks
    • Giles L., Maxwell T.: Learning Invariance and Generalization in High-Order Neural Networks, Applied Optics, 26, 23, 1987, pp. 4972-4978.
    • (1987) Applied Optics , vol.26 , Issue.23 , pp. 4972-4978
    • Giles, L.1    Maxwell, T.2
  • 14
    • 34250175193 scopus 로고    scopus 로고
    • Guégan D., Huck N.: On the Use of Nearest Neighbours to Forecast in Finance, Note de Recherche IDHE-MORA n 10-2004, ENS Cachan, 2004.
    • Guégan D., Huck N.: On the Use of Nearest Neighbours to Forecast in Finance, Note de Recherche IDHE-MORA n 10-2004, ENS Cachan, 2004.
  • 16
    • 0030130753 scopus 로고    scopus 로고
    • Designing a Neural Network for Forecasting Financial and Economic Time Series
    • Kaastra I., Boyd M.: Designing a Neural Network for Forecasting Financial and Economic Time Series, Neurocomputing, 10, 1996, pp. 215-236.
    • (1996) Neurocomputing , vol.10 , pp. 215-236
    • Kaastra, I.1    Boyd, M.2
  • 17
    • 0029115242 scopus 로고
    • On The Training and Performance of Higher-Order Neural Networks
    • Karayiannis N. B., Venetsanopoulos A. N.: On The Training and Performance of Higher-Order Neural Networks, Mathematical Biosciences, 129, 2, 1995, pp. 143-168.
    • (1995) Mathematical Biosciences , vol.129 , Issue.2 , pp. 143-168
    • Karayiannis, N.B.1    Venetsanopoulos, A.N.2
  • 21
    • 0032347955 scopus 로고    scopus 로고
    • Commodity Futures Trading Performance Using Neural Network Models versus ARMA Models
    • Ntungo C., Boyd M.: Commodity Futures Trading Performance Using Neural Network Models versus ARMA Models, The Journal of Futures Markets, 18, 1998, pp. 965-983.
    • (1998) The Journal of Futures Markets , vol.18 , pp. 965-983
    • Ntungo, C.1    Boyd, M.2
  • 24
    • 34250223146 scopus 로고    scopus 로고
    • Ranson D.: Inflation Protection: Why Gold Works Better Than Linkers, World Gold Council Report, Wainwright H.C., World Gold Council Publications, London, 2005.
    • Ranson D.: Inflation Protection: Why Gold Works Better Than "Linkers", World Gold Council Report, Wainwright H.C., World Gold Council Publications, London, 2005.
  • 25
    • 0036069602 scopus 로고    scopus 로고
    • Tests of the Random Walk Hypothesis for London Gold Prices
    • Smith G.: Tests of the Random Walk Hypothesis for London Gold Prices, Applied Economics Letters, 9, 2002, pp. 671-674.
    • (2002) Applied Economics Letters , vol.9 , pp. 671-674
    • Smith, G.1
  • 27
    • 0003123930 scopus 로고    scopus 로고
    • Forecasting with Artificial Neural Networks: The State of The Art
    • Zhang G., Patuwo B. E., Hu M. Y.: Forecasting with Artificial Neural Networks: The State of The Art, International Journal of Forecasting, 14, 1998, pp. 35-62.
    • (1998) International Journal of Forecasting , vol.14 , pp. 35-62
    • Zhang, G.1    Patuwo, B.E.2    Hu, M.Y.3
  • 28
    • 0036129962 scopus 로고    scopus 로고
    • Neuron-Adaptive Higher Order Neural-Network Models for Automated Financial Data Modelling
    • Zhang M., Xu S., Fulcher J.: Neuron-Adaptive Higher Order Neural-Network Models for Automated Financial Data Modelling, IEEE Transactions on Neural Networks, 13, 1, 2002, pp. 188-204.
    • (2002) IEEE Transactions on Neural Networks , vol.13 , Issue.1 , pp. 188-204
    • Zhang, M.1    Xu, S.2    Fulcher, J.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.