TY  - GEN
T1  - Stock returns forecast : an examination by means of artificial neural networks
A1  - Iglesias Caride, Martín
A2  - Bariviera, Aurelio F.
A2  - Lanzarini, Laura Cristina
LA  - English
UL  - http://vufind10-pruebas.sigbunlp.bibliotecas.unlp.edu.ar/Record/dif.56884
AB  - 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.
NO  - Formato de archivo PDF. -- Este documento es producción intelectual de la Facultad de Informática - UNLP (Colección BIPA/Biblioteca)
KW  - REDES NEURONALES
KW  - índice Bovespa
ER  -