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