The motivation for this paper is to show that even a simple strategy based on conditional autocorrelation can give traders an edge. Our simple mean reversion strategy takes the position in a pair consisting of Exchange traded funds (ETFs) or shares based on the normalized previous period's...

In this article, a mixed methodology that combines both the Autoregressive Moving Average Model (ARMA) and Neural Network Regression (NNR) models is proposed to take advantage of the unique strength of ARMA and NNR models in linear and nonlinear modelling. Experimental results with real data...

In the current paper, we present an integrated genetic programming (GP) environment called java GP modelling. The java GP modelling environment is an implementation of the steady-state GP algorithm. This algorithm evolves tree-based structures that represent models of inputs and outputs. The...

The motivation for this article is the investigation of the use of a promising class of neural network (NN) models, higher order neural networks (HONNs), when applied to the task of forecasting and trading the 21-day-ahead realised volatility of the FTSE 100 futures index. This is done by...

The motivation for this paper is to investigate the use of alternative novel neural network architectures when applied to the task of forecasting and trading the Euro/Dollar (EUR/USD) exchange rate. This is done by benchmarking three different neural network designs representing a Higher Order...