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Trading futures markets based on signals from a neural network

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  • Lonnie Hamm
  • B. Wade Brorsen

Abstract

A neural network trading model is developed for hard red winter wheat and Deutsche Mark futures markets. The inputs to the neural network are lagged prices. The results are generally unfavourable. The neural network does not produce statistically significant profits.

Suggested Citation

  • Lonnie Hamm & B. Wade Brorsen, 2000. "Trading futures markets based on signals from a neural network," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 137-140.
    • Handle: RePEc:taf:apeclt:v:7:y:2000:i:2:p:137-140
    DOI: 10.1080/135048500351988
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    References listed on IDEAS

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    1. Hall, Joyce A. & Brorsen, B. Wade & Irwin, Scott H., 1989. "The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 105-116, March.
    2. Michael A. Hudson & Raymond M. Leuthold & Gboroton F. Sarassoro, 1987. "Commodity futures price changes: Recent evidence for wheat, soybeans and live cattle," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(3), pages 287-301, June.
    3. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
    4. Seung‐Ryong Yang & B. Wade Brorsen, 1993. "Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(2), pages 175-191, April.
    5. Gary Grudnitski & Larry Osburn, 1993. "Forecasting S&P and gold futures prices: An application of neural networks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(6), pages 631-643, September.
    6. Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance 9411001, University Library of Munich, Germany.
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    Cited by:

    1. Jasdeep S. Banga & B. Wade Brorsen, 2019. "Profitability of alternative methods of combining the signals from technical trading systems," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 26(1), pages 32-45, January.
    2. Cheol‐Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
    3. Martial Phélippé-Guinvarc'H & Jean Cordier, 2015. "Machine Learning for Semi-Strong Efficiency Test of Inter-Market Wheat Futures," Post-Print hal-02151848, HAL.
    4. Farzan Aminian & E. Suarez & Mehran Aminian & Daniel Walz, 2006. "Forecasting Economic Data with Neural Networks," Computational Economics, Springer;Society for Computational Economics, vol. 28(1), pages 71-88, August.

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