Modeling and Trading FTSE100 Index Using a Novel Sliding Window Approach Which Combines Adaptive Differential Evolution and Support Vector Regression - Artificial Intelligence Applications and Innovations Access content directly
Conference Papers Year : 2013

Modeling and Trading FTSE100 Index Using a Novel Sliding Window Approach Which Combines Adaptive Differential Evolution and Support Vector Regression

Konstantinos Theofilatos
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Andreas Karathanasopoulos
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Peter Middleton
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Spiros Likothanassis
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Abstract

The motivation for this paper is to introduce a novel short term trading strategy using a machine learning based methodology to model the FTSE100 index. The proposed trading strategy deploys a sliding window approach to modeling using a combination of Differential Evolution and Support Vector Regressions. These models are tasked with forecasting and trading daily movements of the FTSE100 index. To test the efficiency of our proposed method, it is benchmarked against two simple trading strategies (Buy and Hold and Naïve Strategy) and two modern machine learning methods. The experimental results indicate that the proposed method outperformsall other examined models in terms of statistical accuracy and profitability. As a result, this hybrid approach is established as a credible and worth trading strategy when applied to time series analysis.
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hal-01459685 , version 1 (07-02-2017)

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Konstantinos Theofilatos, Andreas Karathanasopoulos, Peter Middleton, Efstratios Georgopoulos, Spiros Likothanassis. Modeling and Trading FTSE100 Index Using a Novel Sliding Window Approach Which Combines Adaptive Differential Evolution and Support Vector Regression. 9th Artificial Intelligence Applications and Innovations (AIAI), Sep 2013, Paphos, Greece. pp.486-496, ⟨10.1007/978-3-642-41142-7_49⟩. ⟨hal-01459685⟩
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