Identification of the head-and-shoulders technical analysis pattern with neural networks

Zapranis, A. and Tsinaslanidis, P. (2010) Identification of the head-and-shoulders technical analysis pattern with neural networks. In: Diamantaras, K., Duch, W. and Iliadis, L., eds. Artificial Neural Networks - ICANN 2010. Lecture Notes in Computer Science, 6354. Springer. pp. 130-136 ISBN 9783642158247

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Abstract

In this paper we present a novel approach for identifying the head-and-shoulders technical analysis pattern based on neural networks. For training the network we use actual patterns that were identified in stochastically simulated price series by means of a rule-based algorithm. Then the patterns are being converted to binary images, in a manner similar to the one used in hand-written character and digit recognition. Our approach is tested on new simulated price series using a rolling window of variable size. The results are very promising with an overall correct classification rate of 97.1%.

Item Type: Book Section
Subjects: H Social Sciences > HG Finance
Depositing User: Prodromos Tsinaslanidis
Date Deposited: 16 Sep 2014 14:41
Last Modified: 16 Sep 2014 14:41
URI: https://create.canterbury.ac.uk/id/eprint/12678

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Last edited: 29/06/2016 12:23:00