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Setting up performance surface of an artificial neural network with genetic algorithm optimization: in search of an accurate and profitable prediction of stock trading

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1 Author(s)
Hayward, S. ; Dept. Finance, Ecole Superieure de Commerce de Dijon, France

This paper considers a design framework of a computational experiment in finance. The examination of relationships between statistics used for economic forecasts evaluation and profitability of investment decisions reveals that only the 'degree of improvement over efficient prediction' shows robust links with profitability. If profits are not observable, this measure is proposed as an evaluation criterion for an economic prediction. Also combined with directional accuracy, it could be used in an estimation technique for economic behavior, as an alternative to conventional least squares. Model discovery and performance surface optimization with genetic algorithm demonstrate profitability improvement with an inconclusive effect on statistical criteria.

Published in:

Evolutionary Computation, 2004. CEC2004. Congress on  (Volume:1 )

Date of Conference:

19-23 June 2004

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