Forecasting price increments using an artificial Neural Network

Castiglione, Filippo (2001) Forecasting price increments using an artificial Neural Network.
Published in: Advances in complex systems : ACS ; a multidisciplinary journal Vol. 4 (1-2). pp. 45-56.

Abstract

Financial forecasting is a difficult task due to the intrinsic complexity of the financial system. A simplified approach in forecasting is given by ''black box'' methods like neural networks that assume little about the structure of the economy. In the present paper we relate our experience using neural nets as financial time series forecast method. In particular we show that a neural net able to forecast the sign of the price increments with a success rate slightly above 50 percent can be found. Target series are the daily closing price of different assets and indexes during the period from about January 1990 to February 2000.


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Deposit Information:
ZAIK Number: zaik2000-400
Depositing User: Archive Admin
Date Deposited: 02 Apr 2001 00:00
Last Modified: 19 Dec 2011 09:46
URI: http://e-archive.informatik.uni-koeln.de/id/eprint/400