Financial trading systems: Is recurrent reinforcement the via?

Francesco Bertoluzzo () and Marco Corazza ()
Additional contact information
Francesco Bertoluzzo: Consorzio Venezia Ricerche

No 141, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

Abstract: In this paper we propose a financial trading system whose trading strategy is developed by means of an artificial neural network approach based on a learning algorithm of recurrent reinforcement type. In general terms, this kind of approach consists: first, in directly specifying a trading policy based on some predetermined investorâs measure of profitability; second, in directly setting the financial trading system while using it. In particular, with respect to the prominent literature, in this contribution: first, we take into account as measure of profitability the reciprocal of the returns weighted direction symmetry index instead of the wide-spread Sharpe ratio; second, we obtain the differential version of the measure of profitability we consider, and obtain all the related learning relationships; third, we propose a simple procedure for the management of drawdown-like phenomena; finally, we apply our financial trading approach to some of the most prominent assets of the Italian stock market.

Keywords: Financial trading system; recurrent reinforcement learning; no-hidden-layer perceptron model; returns weighted directional symmetry measure; gradient ascent technique; Italian stock market. (search for similar items in EconPapers)
JEL-codes: C45 C61 C63 G31 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2006-10
New Economics Papers: this item is included in nep-cmp, nep-mst and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://virgo.unive.it/wpideas/storage/2006wp141.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to virgo.unive.it:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:vnm:wpaper:141

Access Statistics for this paper

More papers in Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia Contact information at EDIRC.
Bibliographic data for series maintained by Daria Arkhipova ().