This paper develops a model of a trading system by using neuro fuzzy framework in order to better predict the stock index. Thirty well-known stock indexes are analyzed with the help of the model developed here. The empirical results show strong evidence of nonlinearity in the stock index by using KD technical indexes. The trading point analysis and the sensitivity analysis of trading costs show the robustness and opportunity for making further profits through using the proposed nonlinear neuro fuzzy system. The scenario analysis also shows that the proposed neuro fuzzy system performs consistently over time.
内容記述
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-F
巻
2002-CF-165
発行年
2002-08
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
330
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
Can the Neuro Fuzzy Model Predict Stock Indexes Better than its Rivals?
