Ordinary Shares. Exotic Methods: Financial Forecasting Using Data Mining Techniques

Lijuan Cao, Lixiang Shen et Eng-hock Francis Tay

ISBN 10: 9812380752 / ISBN 13: 9789812380753

Published by World Scientific Publishing Co Pte Ltd, 2003

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Synopsis:

Exotic methods refer to specific functions within general soft computing methods such as genetic algorithms, neural networks and rough sets theory. They are applied to ordinary shares for a variety of financial purposes, such as portfolio selection and optimization, classification of market states, forecasting of market states and data mining. This is in contrast to the wide spectrum of work done on exotic financial instruments, wherein advanced mathematics is used to construct financial instruments for hedging risks and for investment.In this book, particular aspects of the general method are used to create interesting applications. For instance, genetic niching produces a family of portfolios for the trader to choose from. Support vector machines, a special form of neural networks, forecast the financial markets; such a forecast is on market states, of which there are three -- uptrending, mean reverting and downtrending. A self-organizing map displays in a vivid manner the states of the market. Rough sets with a new discretization method extract information from stock prices.

Bibliographic Details

Title: Ordinary Shares. Exotic Methods: Financial ...
Publisher: World Scientific Publishing Co Pte Ltd
Publication Date: 2003
Binding: Hardcover
Condition: Comme neuf