Autoregression and artificial neural networks for financial market forecast

De Leone, Renato; Quaranta, A. G.; Marchitto, E.

In recent years the interest of the investors in e±cient methods for the forecasting price trend of a share in financial markets has grown steadily. The aim is to accurately forecast the future behavior of the market in order to identificate the so-called "correct timing". In this paper we analyze three di®erent approaches for forecasting financial data: Autoregression, artificial neural networks and support vector machines and we will determine potentials and limits of these methods. Application to the Italian financial market is also presented.

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Titolo:	Autoregression and artificial neural networks for financial market forecast
Autori:	DE LEONE, Renato QUARANTA A. G. MARCHITTO E. mostra contributor esterni nascondi contributor esterni
Data di pubblicazione:	2006
Rivista:	NEURAL NETWORK WORLD
Abstract:	In recent years the interest of the investors in e±cient methods for the forecasting price trend of a share in financial markets has grown steadily. The aim is to accurately forecast the future behavior of the market in order to identificate the so-called "correct timing". In this paper we analyze three di®erent approaches for forecasting financial data: Autoregression, artificial neural networks and support vector machines and we will determine potentials and limits of these methods. Application to the Italian financial market is also presented.
Handle:	http://hdl.handle.net/11581/115686
Appare nelle tipologie:	Articolo

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