Stock trading with random forests, trend detection tests and force index volume indicators

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 7895 LNAI, Issue PART 2, 2013, Pages 441-452

  Ładyzyński, Piotr ^a   Zbikowski, Kamil ^a   Grzegorzewski, Przemysław ^a,b  

^a WARSAW UNIVERSITY OF TECHNOLOGY   (Poland)

^b SYSTEMS RESEARCH INSTITUTE   (Poland)

Author keywords

financial time serie; investment strategies backtesting; quant fund; random forest; Stock trading; trend detection test

Indexed keywords

FINANCIAL TIME SERIE; INVESTMENT STRATEGY; QUANT FUND; RANDOM FORESTS; STOCK TRADING; TREND DETECTION TESTS;

ARTIFICIAL INTELLIGENCE; COMMERCE; LEARNING SYSTEMS; SOFT COMPUTING; STRATEGIC PLANNING;

DECISION TREES;

EID: 84884392049     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/978-3-642-38610-7_41     Document Type: Conference Paper

References (9)

1. Elder, A.: Trading for living. Wiley Finance (1993)
2. Chan, E.P.: Quantitive Trading. Wiley Trading (2008)
3. Fong, S., Si, Y.W., Tai, J.: Trend following algorithms in automated derivatives market trading. Expert Systems with Applications 39, 11378-11390 (2012)
4. Hastie, T., Tibshirani, R., Friedman, J.: The Elements of Statistical Learning. Springer (2009)
5. Jangmin, O., Jangwoo Lee, J., Jae Won, L., Byoung-Tak, Z.: Adaptive stock trading with dynamic asset allocation using reinforcement learning. Information Sciences 176, 2121-2147 (2006)
6. Kästner, M., Villmann, T.: Fuzzy Supervised Self-Organized Map for semi-supervised vector quantization. In: Rutkowski, L., Korytkowski, M., Scherer, R., Tadeusiewicz, R., Zadeh, L.A., Zurada, J.M. (eds.) ICAISC 2012, Part I. LNCS, vol. 7267, pp. 256-265. Springer, Heidelberg (2012)
7. Ładyżyński, P., Grzegorzewski, P.: Soft methods in trend detection. In: Borgelt, C., González-Rodríguez, G., Trutschnig, W., Lubiano, M.A., Gil, M. Á., Grzegorzewski, P., Hryniewicz, O. (eds.) Combining Soft Computing and Statistical Methods in Data Analysis. AISC, vol. 77, pp. 395-402. Springer, Heidelberg (2010)
8. Muh-Cherng, W., Sheng-Yu, L., Chia-Hsin, L.: An effective application of decision tree to stock trading. Expert Systems with Applications 31, 270-274 (2006)
9. Qing-Guo, W., Jin, L., Qin, Q., Shuzhi Sam, G.: Linear, Adaptive and Nonlinear Trading Models for Singapore Stock Market with Random Forests. In: 2011 9th IEEE International Conference on Control and Automation, ICCA (2011)