Article ID Journal Published Year Pages File Type
10322603 Expert Systems with Applications 2011 21 Pages PDF
Abstract
► A straddle trading framework based on eFSM neural-fuzzy model and MACD principle. ► eFSM dynamically models and forecasts the volatility trends of the Hang Seng Index. ► MACD generates timely trading signals using projected volatility trends from eFSM. ► Straddles are bought and sold based on the MACD signals. ► Trading framework achieves significantly higher return than time deposit account.
Related Topics
Physical Sciences and Engineering Computer Science Artificial Intelligence
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