Fast learning and predicting of stock returns with virtual generalized random access memory weightless neural networks
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 (C) 2011 John Wiley & Sons, Ltd.
weightless neural networks high-performance time-series prediction high-frequency trading