[wkh]

i think neural networks are so old that much of the potential they have to discover inefficiencies and the like will already have been exploited by market participants. multi-layer perceptrons are so 80s, dude.

if someone could respond to my thread, i just have a simple question. thanks.

[szczupak]

The literature from 2005 and 2006 suggests that NN can outperform all kinds of econometric analysis... and regression in particular... so their value is not to be underestimated... as i said in my first post ii will write more about it in my blog...

[initialsBB]

Originally Posted by wkh

i think neural networks are so old that much of the potential they have to discover inefficiencies and the like will already have been exploited by market participants. multi-layer perceptrons are so 80s, dude.

if someone could respond to my thread, i just have a simple question. thanks.

This is so funny that i really don't have to prove its absurdity. I guess you're some newbie on a "new-indicator" hunt

[szczupak]

i agree with you Initials...

[szczupak]

look at the results please...

[initialsBB]

But is this data that was used to train the network or is it out-of-sample? Neurals tend to learn the rules of the training data well, but usually that performance deteriorates on out-of-sample. Of course some deteriorate only slightly, but i had examples with 95% accuracy on training and 35% on out-of-sample. Therefore i usually take into consideration only performance on data that the network hasn't seen before.