Forecasting the Correct Trading Actions

• Tipo: Artigo em Livro de Atas de Conferência Internacional
• Data: 2015

Autores

Baía, L (Autor) Outra; Torgo, L (Autor) FCUP

Ata de Conferência Internacional

Título: PROGRESS IN ARTIFICIAL INTELLIGENCE

Páginas: 560-571

17th Portuguese Conference on Artificial Intelligence (EPIA)

Univ Coimbra, Coimbra, PORTUGAL, SEP 08-11, 2015

Indexação

ISI Web of Knowledge - 2 Citações

Scopus - 2 Citações

Outras Informações

ID Authenticus: P-00G-VFJ

DOI: 10.1007/978-3-319-23485-4_55

Abstract (EN): This paper addresses the problem of decision making in the context of financial markets. More specifically, the problem of forecasting the correct trading action for a certain future horizon. We study and compare two different alternative ways of addressing these forecasting tasks: i) using standard numeric prediction models to forecast the variation on the prices of the target asset and on a second stage transform these numeric predictions into a decision according to some pre-defined decision rules; and ii) use models that directly forecast the right decision thus ignoring the intermediate numeric forecasting task. The objective of our study is to determine if both strategies provide identical results or if there is any particular advantage worth being considered that may distinguish each alternative in the context of financial markets.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 12