Neural Networks in the Capital Markets: An Application to Index Forecasting

Neural Networks in the Capital Markets: An Application to Index Forecasting

In this article we construct an Index of Austrian Initial Public Offerings (IPOX) which is isomorph to the Austrian Traded Index (ATX). Conjecturing that the ATX qualifies as an explaining variable for the IPOX, we investigate the time trend properties of and the comovement between the two indices....

Full description

Bibliographic Details
Main Authors: Helmenstein, Christian, Häfke, Christian
Format: Others
Language:en
Published: Inst. für Volkswirtschaftstheorie und -politik, WU Vienna University of Economics and Business 1995
Online Access:http://epub.wu.ac.at/6308/1/WP_32.pdf
id ndltd-VIENNA-oai-epub.wu-wien.ac.at-6308
record_format oai_dc
spelling ndltd-VIENNA-oai-epub.wu-wien.ac.at-63082018-05-04T05:23:17Z Neural Networks in the Capital Markets: An Application to Index Forecasting Helmenstein, Christian Häfke, Christian In this article we construct an Index of Austrian Initial Public Offerings (IPOX) which is isomorph to the Austrian Traded Index (ATX). Conjecturing that the ATX qualifies as an explaining variable for the IPOX, we investigate the time trend properties of and the comovement between the two indices. We use the relationship to construct a TJ.eural network and a linear error-correction forecasting model for the IPOX and base a tracling scheme on either forecast. The results suggest that trading based on the forecasts significantly increases an investor's return as compared to Buy and Hold or simple Moving Average trading strategies. Inst. für Volkswirtschaftstheorie und -politik, WU Vienna University of Economics and Business 1995-01 Paper NonPeerReviewed en application/pdf http://epub.wu.ac.at/6308/1/WP_32.pdf Series: Department of Economics Working Paper Series http://epub.wu.ac.at/6308/
collection NDLTD
language en
format Others
sources NDLTD
description In this article we construct an Index of Austrian Initial Public Offerings (IPOX) which is isomorph to the Austrian Traded Index (ATX). Conjecturing that the ATX qualifies as an explaining variable for the IPOX, we investigate the time trend properties of and the comovement between the two indices. We use the relationship to construct a TJ.eural network and a linear error-correction forecasting model for the IPOX and base a tracling scheme on either forecast. The results suggest that trading based on the forecasts significantly increases an investor's return as compared to Buy and Hold or simple Moving Average trading strategies. === Series: Department of Economics Working Paper Series
author Helmenstein, Christian
Häfke, Christian
spellingShingle Helmenstein, Christian
Häfke, Christian
Neural Networks in the Capital Markets: An Application to Index Forecasting
author_facet Helmenstein, Christian
Häfke, Christian
author_sort Helmenstein, Christian
title Neural Networks in the Capital Markets: An Application to Index Forecasting
title_short Neural Networks in the Capital Markets: An Application to Index Forecasting
title_full Neural Networks in the Capital Markets: An Application to Index Forecasting
title_fullStr Neural Networks in the Capital Markets: An Application to Index Forecasting
title_full_unstemmed Neural Networks in the Capital Markets: An Application to Index Forecasting
title_sort neural networks in the capital markets: an application to index forecasting
publisher Inst. für Volkswirtschaftstheorie und -politik, WU Vienna University of Economics and Business
publishDate 1995
url http://epub.wu.ac.at/6308/1/WP_32.pdf
work_keys_str_mv AT helmensteinchristian neuralnetworksinthecapitalmarketsanapplicationtoindexforecasting
AT hafkechristian neuralnetworksinthecapitalmarketsanapplicationtoindexforecasting
_version_ 1718634604605210624

Similar Items