{"id":650,"date":"2016-07-19T17:37:01","date_gmt":"2016-07-19T20:37:01","guid":{"rendered":"https:\/\/sbia.org.br\/lnlm\/?page_id=650"},"modified":"2016-07-19T17:37:01","modified_gmt":"2016-07-19T20:37:01","slug":"vol11-no2-art3","status":"publish","type":"page","link":"https:\/\/sbia.org.br\/lnlm\/publicacoes\/vol11-no2\/vol11-no2-art3\/","title":{"rendered":"Sistema de Trading no Mercado de A\u00e7\u00f5es Implementado por Redes Neurais Artificiais"},"content":{"rendered":"<p><strong>T\u00edtulo:<\/strong> Sistema de Trading no Mercado de A\u00e7\u00f5es Implementado por Redes Neurais Artificiais<\/p>\n<p><strong>Autores:<\/strong> Gambogi, Jarbas Aquiles; Costa, Oswaldo Luiz do Valle<\/p>\n<p align=\"justify\"><strong>Resumo:<\/strong> Este trabalho apresenta um sistema de trading implementado por redes neurais artificiais multicamadas com propaga\u00e7\u00e3o para frente que toma decis\u00f5es de compra e de venda do \u00edndice SP500, na modalidade seguidor de tend\u00eancia, no per\u00edodo de 5 anos, encerrado na \u00faltima semana do primeiro semestre de 2012. O crit\u00e9rio usual de escolha de redes neurais nas estimativas de pre\u00e7os de ativos financeiros \u00e9 o do menor erro quadr\u00e1tico m\u00e9dio entre as estimativas e os valores observados, entre outras m\u00e9tricas similares. A ado\u00e7\u00e3o, neste trabalho, do crit\u00e9rio do menor erro quadr\u00e1tico m\u00e9dio, ou m\u00e9trica equivalente, nas amostras de teste, entre as redes neurais que apresentaram taxas de acertos nas previs\u00f5es das oscila\u00e7\u00f5es semanais do \u00edndice SP500 acima de 60% nessas amostras de teste, possibilitou ao sistema de trading superar a taxa anual de retorno das redes neurais selecionadas pelo crit\u00e9rio usual  e, por larga margem, a estrat\u00e9gia de compre-e-segure no per\u00edodo. As vari\u00e1veis de entrada das redes neurais foram escolhidas entre as que capturam o efeito momento dos pre\u00e7os do mercado de a\u00e7\u00f5es no curto prazo.<\/p>\n<p><strong>Palavras-chave:<\/strong> Redes Neurais; Mercado de A\u00e7\u00f5es; Sistema de Trading<\/p>\n<p><strong>P\u00e1ginas:<\/strong> 11<\/p>\n<p><strong>C\u00f3digo DOI:<\/strong> <a href=\"http:\/\/dx.doi.org\/10.21528\/lnlm-vol11-no2-art3\">10.21528\/lmln-vol11-no2-art3<\/a><\/p>\n<p><strong>Artigo em PDF:<\/strong> <a href=\"https:\/\/sbia.org.br\/lnlm\/wp-content\/uploads\/sites\/4\/2016\/07\/vol11-no2-art3.pdf\" rel=\"\">vol11-no2-art3.pdf<\/a><\/p>\n<p><strong>Arquivo BibTex:<\/strong> <a href=\"https:\/\/sbia.org.br\/lnlm\/wp-content\/uploads\/sites\/4\/2016\/07\/vol11-no2-art3.bib\" rel=\"\">vol11-no2-art3.bib<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>T\u00edtulo: Sistema de Trading no Mercado de A\u00e7\u00f5es Implementado por Redes Neurais Artificiais Autores: Gambogi, Jarbas Aquiles; Costa, Oswaldo Luiz do Valle Resumo: Este trabalho apresenta um sistema de trading implementado por redes neurais artificiais multicamadas com propaga\u00e7\u00e3o para frente <a href=\"https:\/\/sbia.org.br\/lnlm\/publicacoes\/vol11-no2\/vol11-no2-art3\/\" class=\"read-more\">Read More &#8230;<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"parent":644,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-650","page","type-page","status-publish","hentry"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v26.9 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Sistema de Trading no Mercado de A\u00e7\u00f5es Implementado por Redes Neurais Artificiais - Learning and NonLinear Models<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/sbia.org.br\/lnlm\/publicacoes\/vol11-no2\/vol11-no2-art3\/\" \/>\n<meta property=\"og:locale\" content=\"pt_BR\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Sistema de Trading no Mercado de A\u00e7\u00f5es Implementado por Redes Neurais Artificiais - Learning and NonLinear Models\" \/>\n<meta property=\"og:description\" content=\"T\u00edtulo: Sistema de Trading no Mercado de A\u00e7\u00f5es Implementado por Redes Neurais Artificiais Autores: Gambogi, Jarbas Aquiles; 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