Stock returns forecast : an examination by means of artificial neural networks
Iglesias Caride, Martín
Stock returns forecast : an examination by means of artificial neural networks - 1 archivo (401,0 kB)
Formato de archivo PDF. -- Este documento es producción intelectual de la Facultad de Informática - UNLP (Colección BIPA/Biblioteca)
The validity of the Efficient Market Hypothesis has been under severe scrutiny since several decades. However, the evidence against it is not conclusive. Artificial Neural Networks provide a model-free means to analize the prediction power of past returns on current returns. This chapter analizes the predictability in the intraday Brazilian stock market using a backpropagation Artificial Neural Network. We selected 20 stocks from Bovespa index, according to different market capitalization, as a proxy for stock size. We find that predictability is related to capitalization. In particular, larger stocks are less predictable than smaller ones.
DIF-M7780
REDES NEURONALES
índice Bovespa
Stock returns forecast : an examination by means of artificial neural networks - 1 archivo (401,0 kB)
Formato de archivo PDF. -- Este documento es producción intelectual de la Facultad de Informática - UNLP (Colección BIPA/Biblioteca)
The validity of the Efficient Market Hypothesis has been under severe scrutiny since several decades. However, the evidence against it is not conclusive. Artificial Neural Networks provide a model-free means to analize the prediction power of past returns on current returns. This chapter analizes the predictability in the intraday Brazilian stock market using a backpropagation Artificial Neural Network. We selected 20 stocks from Bovespa index, according to different market capitalization, as a proxy for stock size. We find that predictability is related to capitalization. In particular, larger stocks are less predictable than smaller ones.
DIF-M7780
REDES NEURONALES
índice Bovespa