Sunday, February 22, 2015

My interpretation of Kuperin's paper on price forecasting

When I was trying to reproduce Kuperin et al's experiments:

http://link.springer.com/chapter/10.1007/3-540-47789-6_127
http://arxiv.org/abs/cond-mat/0304469

I produced the following work:

https://www.dropbox.com/s/doyi1lm7ugc7e7f/elmold.tar.gz?dl=0

The file is large because it contains the output data from several weeks of continuous processing. The programs are Elman network trainers based on various genetic algorithms. An animation of one of my experiments can be watched in:

https://www.youtube.com/watch?v=Yz1NYskvFg0

The results were disappointing, so I decided not to upload anything until now. I've uploaded this work only to keep a historical record.

2 comments:

  1. Dear Vicente,

    Kuperin states that he can predict approx 80% of the increment signs. Isn't that enough for profitable trading?

    Best
    Sebastian

    ReplyDelete
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