dc.contributor.advisor |
Mare, Eben |
en |
dc.contributor.postgraduate |
Buhr, Richard Otto |
|
dc.date.accessioned |
2015-01-19T12:13:25Z |
|
dc.date.available |
2015-01-19T12:13:25Z |
|
dc.date.created |
2014/12/12 |
en |
dc.date.issued |
2014 |
en |
dc.description |
Dissertation (MSc)--University of Pretoria, 2014. |
en |
dc.description.abstract |
The use of artificial intelligence models could enhance the process by which decisions are made
for trading in the financial markets. In this project the aim was to define, create, apply and
analyse the results of an artificial neural network based solution for so-called pairs trading.
A literature study is presented where a brief summary is given of the current body of knowl-
edge with regards to artificial neural networks and their application in finance. Additionally
an introduction of the software packages used in this project is given. In a separate chapter a
short introduction on trading strategies and pairs trading, specifically, is included.
The design of the artificial neural network is discussed in detail with both training and execu-
tion results from experiments critically examined.
Finally the question ‘Are artificial neural networks a viable tool applied to pairs trading in
the South African market?’ is answered based on the empirical evidence. |
en |
dc.description.availability |
Unrestricted |
en |
dc.description.degree |
MSc |
|
dc.description.department |
Materials Science and Metallurgical Engineering |
en |
dc.description.librarian |
lk2014 |
en |
dc.identifier.citation |
Buhr, RO 2014, An investigation of artificial neural networks applied to pairs trading in South Africa, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd<http://hdl.handle.net/2263/43296> |
|
dc.identifier.other |
M14/9/145 |
en |
dc.identifier.uri |
http://hdl.handle.net/2263/43296 |
|
dc.language.iso |
en |
en |
dc.publisher |
University of Pretoria |
|
dc.rights |
© 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
en |
dc.subject |
UCTD |
en |
dc.title |
An investigation of artificial neural networks applied to pairs trading in
South Africa |
en |
dc.type |
Dissertation |
en |