Forecasting financial markets with classified tactical signals

Patrick Kouontchou, Amaury Lendasse, Yoan Miche, Bertrand Maillet

    Research output: Chapter in Book/Report/Conference proceedingConference contributionScientificpeer-review

    2 Citations (Scopus)

    Abstract

    The financial market dynamics can be characterized by macro-economic, micro-financial and market risk indicators, used as leading indicators by market professionals. In this article, we propose a method to identify market states integrating two classification algorithms: a Robust Kohonen Self-Organising Maps one and a CART one. After studying the market's states separation using the former, we use the latter to characterize the economic conditions over time and to compute the conditional probabilities of related market states.

    Original languageEnglish
    Title of host publicationESANN 2013 proceedings, 21st European Symposium on Artificial Neural Networks, Computational Intelligence and Machine Learning
    Pages363-368
    Number of pages6
    Publication statusPublished - 2013
    MoE publication typeA4 Article in a conference publication
    EventEuropean Symposium on Artificial Neural Networks, Computational Intelligence and Machine Learning - Bruges, Belgium
    Duration: 24 Apr 201326 Apr 2013
    Conference number: 21

    Conference

    ConferenceEuropean Symposium on Artificial Neural Networks, Computational Intelligence and Machine Learning
    Abbreviated titleESANN
    CountryBelgium
    CityBruges
    Period24/04/201326/04/2013

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