A B-P ANN Commodity Trader
نویسنده
چکیده
An Artificial Neural Network (ANN) is trained to recognize a buy/sell (long/short) pattern for a particular commodity future contract. The BackPropagation of errors algorithm was used to encode the relationship between the Long/Short desired output and 18 fundamental variables plus 6 (or 18) technical variables into the ANN. Trained on one year of past data the ANN is able to predict long/short market positions for 9 months in the future that would have made $10,301 profit on an investment of less than $1000.
منابع مشابه
Commodity Financialization: Risk Sharing and Price Discovery in Commodity Futures Markets
We theoretically study how commodity financialization affects trading behavior, prices and welfare through affecting risk sharing and price discovery in futures markets. In our model, the general equilibrium feature makes financial traders either provide or demand liquidity in the futures market, depending on the information environment. Consistent with recent evidence, commodity financializati...
متن کاملAnalysis on Inflows of Index Investors and Determinants of Futures Price
In this paper, based on a description of the four major players of commodity spot and futures markets, we establish a multi-phase equilibrium model of price determination, and then analyze the influence of the entry of a large number of index investors on the risk premium, inventory management, and different traders’ positions of commodity futures. The result shows that, the correlation between...
متن کاملVARIATIONS ON THE THEME OF OF SCARF’S COUNTER-EXAMPLE BY ALOK KUMAR and MARTIN SHUBIK COWLES FOUNDATION PAPER NO. 1118 COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
We study the relation between the stability of a competitive equilibrium (CE) and the price adjustment mechanism used to attain that equilibrium point. Using two specific examples, a three-commodity exchange economy with a unique competitive equilibrium (Scarf's global instability example) and a two-commodity, two-trader type exchange economy with multiple competitive equilibria, we show that t...
متن کاملVariations on the Theme of Scarf’s Counter-Example
We study the relation between the stability of a competitive equilibrium (CE) and the price adjustment mechanism used to attain that equilibrium point. Using two specific examples, a three-commodity exchange economy with a unique competitive equilibrium (Scarf’s global instability example) and a two-commodity, two-trader type exchange economy with multiple competitive equilibria, we show that t...
متن کاملAn Examination of Own Account Trading By Dual Traders in Futures Markets
Using proprietary audit trail transactions compiled by the Commodity Futures Trading Commission, we investigate, at the individual trader level, (1) the timing and (2) the determinants of dual traders’ personal trades. Our analysis reveals a surprising absence of any trade timing by dual traders in relation to the execution of their customers’ orders. Further examination employing correlation s...
متن کامل