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An investigation of artificial neural networks applied to pairs trading in South Africa
Dissertation (MSc)--University of Pretoria, 2014.
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| Other Authors: | |
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2015
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| _version_ | 1867613501338419200 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 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. |
| description | Dissertation (MSc)--University of Pretoria, 2014. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/43296 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:09.154Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/43296 An investigation of artificial neural networks applied to pairs trading in South Africa Mare, Eben Buhr, Richard Otto UCTD Dissertation (MSc)--University of Pretoria, 2014. 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. lk2014 Materials Science and Metallurgical Engineering MSc Unrestricted 2015-01-19T12:13:25Z 2015-01-19T12:13:25Z 2014/12/12 2014 Dissertation 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> M14/9/145 http://hdl.handle.net/2263/43296 en © 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. application/pdf University of Pretoria |
| spellingShingle | UCTD An investigation of artificial neural networks applied to pairs trading in South Africa |
| title | An investigation of artificial neural networks applied to pairs trading in
South Africa |
| title_full | An investigation of artificial neural networks applied to pairs trading in
South Africa |
| title_fullStr | An investigation of artificial neural networks applied to pairs trading in
South Africa |
| title_full_unstemmed | An investigation of artificial neural networks applied to pairs trading in
South Africa |
| title_short | An investigation of artificial neural networks applied to pairs trading in
South Africa |
| title_sort | investigation of artificial neural networks applied to pairs trading in south africa |
| topic | UCTD |
| url | http://hdl.handle.net/2263/43296 |