Neural Nets in Finance and Economics

Current Status (Jan 1996)

While pursuing this project and getting some negative results on artificial timeseries data with neural networks (the nets kept falling into local minima), I obtained quite positive results on real data using a rule-induction algorithm, and published these results in two conference papers (see my publications). I am always looking for new and better sources of data to build on the experiments described in those papers. Please let me know if you have any suggestions.

Project Description

This is a project which began Spring quarter 1995 at Stanford. The participants are exploring the use of nonlinear modelling methods in economic and financial problems, broadly defined. The first and current stage of the project is exploratory -- reading relevant literature, obtaining relevant data, and observing the performance of nonlinear modelling methods applied to the data.

Participants:

George H. John
Michael Ebstyne
David Lin
Mark Shaw

Resources

Neural Networks FAQ
Investments FAQ

Readings:

New Brains: how "smart" computers are beating the stock market. By Jonathan R. Laing, Barron's Feb 27, 1995, p 29-33.
Stock Selection using Recon[TM/SM]. By George John and Peter Miller. In Neural Nets and the Capital Markets, London, UK. 1995. World Scientific.

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