Abstract
We propose a neural network based “left shoulder” detector. The auto-associative neural network was trained with the “lelt sliouldcr” patterns obtained from the Korea Composite Stock Price Index, and then tested out-of- sample with a reasonably good result. A hypothetical investment strategy besed on the detector achieved a return of 124% in comparison with 39% return from a buy and hold strategy.
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Baek, J., Cho, S. (2000). “Left Shoulder” Detection in Korea Composite Stock Price Index Using an Auto-Associative Neural Network. In: Leung, K.S., Chan, LW., Meng, H. (eds) Intelligent Data Engineering and Automated Learning — IDEAL 2000. Data Mining, Financial Engineering, and Intelligent Agents. IDEAL 2000. Lecture Notes in Computer Science, vol 1983. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-44491-2_41
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DOI: https://doi.org/10.1007/3-540-44491-2_41
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