Using a financial training criterion rather than a prediction criterion.

Y Bengio

doi:10.1142/s0129065797000422

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Using a financial training criterion rather than a prediction criterion.

Y Bengio

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Abstract

The application of this work is to decision making with financial time series, using learning algorithms. The traditional approach is to train a model using a prediction criterion, such as minimizing the squared error between predictions and actual values of a dependent variable, or maximizing the likelihood of a conditional model of the dependent variable. We find here with noisy time series that better results can be obtained when the model is directly trained in order to maximize the financial criterion of interest, here gains and losses (including those due to transactions) incurred during trading. Experiments were performed on portfolio selection with 35 Canadian stocks.

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Algorithms Artificial Intelligence Models, Economic Neural Networks, Computer Journal Article Research Support, Non-U.S. Gov't

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Y Bengio. 1997. Using a financial training criterion rather than a prediction criterion.. https://doi.org/10.1142/s0129065797000422

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