Kablan, Abdalla; Ng, Wing Lon - In: International Journal of Financial Markets and Derivatives 2 (2011) 1/2, pp. 68-87
This paper introduces an adaptive neuro-fuzzy inference system (ANFIS) for financial trading, which learns to predict price movements from training data consisting of intraday tick data sampled at high frequency. The empirical data used in our investigation are five-minute mid-price time series...