A singular spectrum analysis based trend-following trading system.
Michel C. R. LelesAdriano S. V. CardosoMariana G. MoreiraElton Felipe SbruzziCairo L. Nascimento Jr.Homero N. GuimaraesPublished in: SysCon (2018)
Keyphrases
- trading systems
- singular spectrum analysis
- complex valued
- technical indicators
- change point detection
- support vector regression
- financial forecasting
- stock price
- non stationary
- data preprocessing
- financial markets
- financial time series
- stock market
- real valued
- artificial neural networks
- outlier detection
- recurrent neural networks
- neural network
- genetic programming