TY  - GEN
AU  - Iglesias Caride,Martín
AU  - Bariviera,Aurelio F.
AU  - Lanzarini,Laura Cristina
TI  - Stock returns forecast: an examination by means of artificial neural networks
KW  - REDES NEURONALES
KW  - índice Bovespa
N1  - Formato de archivo PDF. -- Este documento es producción intelectual de la Facultad de Informática - UNLP (Colección BIPA/Biblioteca); Complex Systems: Solutions and Challenges in Economics, Management and Engineering, 125, pp. 399-410
N2  - 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
UR  - https://doi.org/10.1007/978-3-319-69989-9_23
ER  -