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- W2015804319 abstract "The systematic trading of equities forms the basis of the asset management industry. Analysts are trying to outperform a passive investment in an index such as the S&P 500 Index. However, statistics have shown that most analysts fail to consistently beat the index. A number of Neural Network based methods for detecting trading opportunities on Futures contracts on the S&P 500 Index have been published in the literature. However, such methods have generally been unable to demonstrate sustained performance over a significant period of time. The authors of this paper show, through the application of over ten years of experience in quantitative modelling and trading, a different type of Neural Network approach to beating the S&P 500 Index. Rather than trading Futures contracts, it is shown that by using Neural Networks to intelligently select just a handful of stocks a performance significantly in excess of a buy and hold position on the S&P 500 Index could have been achieved over a seven year period. The effect of transaction costs is also considered." @default.
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- W2015804319 date "2014-07-01" @default.
- W2015804319 modified "2023-09-24" @default.
- W2015804319 title "Beating the S&P 500 index — A successful neural network approach" @default.
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- W2015804319 doi "https://doi.org/10.1109/ijcnn.2014.6889625" @default.
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