Neural Networks and the Financial Markets: Predicting, Combining and Portfolio Optimisation: Perspectives in Neural Computing

I Introduction to Prediction in the Financial Markets.- 1 Introduction to the Financial Markets.- 2 Univariate and Multivariate Time Series Predictions.- 3 Evidence of Predictability in Financial Markets.- 4 Bond Pricing and the Yield Curve.- 5 Data Selection.- II Theory of Prediction Modelling.- 6 General Form of Models of Financial Markets.- 7 Overfitting, Generalisation and Regularisation.- 8 The Bootstrap, Bagging and Ensembles.- 9 Linear Models.- 10 Input Selection.- III Theory of Specific Prediction Models.- 11 Neural Networks.- 12 Learning Trading Strategies for Imperfect Markets.- 13 Dynamical Systems Perspective and Embedding.- 14 Vector Machines.- 15 Bayesian Methods and Evidence.- IV Prediction Model Applications.- 16 Yield Curve Modelling.- 17 Predicting Bonds Using the Linear Relevance Vector Machine.- 18 Artificial Neural Networks.- 19 Adaptive Lag Networks.- 20 Network Integration.- 21 Cointegration.- 22 Joint Optimisation in Statistical Arbitrage Trading.- 23 Univariate Modelling.- 24 Combining Models.- V Optimising and Beyond.- 25 Portfolio Optimisation.- 26 Multi-Agent Modelling.- 27 Financial Prediction Modelling: Summary and Future Avenues.- Further Reading.- References.

Provides the most up-to-date overview of information processing techniques as applied to cutting-edge financial problems Includes supplementary material: sn.pub/extras