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Fast learning and predicting of stock returns with virtual generalized random access memory weightless neural networks

Authors


Fabio Daros Freitas, Receita Federal do Brasil, Vitória, Espirito Santo, Brazil.

E-mail: alberto@lcad.inf.ufes.br, freitas@computer.org, andre@lcad.inf.ufes.br

SUMMARY

We employ virtual generalized random access memory weightless neural networks, VG-RAM WNN, for predicting future stock returns. We evaluated our VG-RAM WNN stock predictor architecture in predicting future weekly returns of the Brazilian stock market and obtained the same error levels and properties of baseline autoregressive neural network predictors; however, our VG-RAM WNN predictor runs 5000 times faster than autoregressive neural network predictors. This allowed us to employ VG-RAM WNN predictors to build a high frequency trading system able to achieve a monthly return of approximately 35% in the Brazilian stock market. Copyright © 2011 John Wiley & Sons, Ltd.

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