Financial time series forecast using artificial neural networks: a comparative in the 2008 crisis
Artificial Neural Networks (ANN) have been used in different segments inside the area of finance such as stock prices and market indices forecast. This article seeks to measure the power of ANN on the Bovespa Index and the prediction of stock prices, verifying their forecast power even in times of c...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universidade Estadual Paulista
2018-03-01
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| Series: | GEPROS: Gestão da Produção, Operações e Sistemas |
| Subjects: | |
| Online Access: | http://revista.feb.unesp.br/index.php/gepros/article/view/2016 |
| _version_ | 1828387504571547648 |
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| author | Debora Barbosa Aires Ronaldo César Dametto Antonio Fernando Crepaldi |
| author_facet | Debora Barbosa Aires Ronaldo César Dametto Antonio Fernando Crepaldi |
| author_sort | Debora Barbosa Aires |
| collection | DOAJ |
| description | Artificial Neural Networks (ANN) have been used in different segments inside the area of finance such as stock prices and market indices forecast. This article seeks to measure the power of ANN on the Bovespa Index and the prediction of stock prices, verifying their forecast power even in times of crisis. Therefore, time series of over a decade were extracted from Yahoo! Finance, including the period of the subprime crisis and its temporal neighborhoods. ANN were performed using Matlab 2016a software with satisfactory results, which were evaluated by scattergrams errors and Mean Absolute Percentage Error (MAPE) method. |
| first_indexed | 2024-12-10T05:54:27Z |
| format | Article |
| id | doaj.art-7710f8f8d9a8443dae9b4641fb31432d |
| institution | Directory Open Access Journal |
| issn | 1984-2430 |
| language | English |
| last_indexed | 2024-12-10T05:54:27Z |
| publishDate | 2018-03-01 |
| publisher | Universidade Estadual Paulista |
| record_format | Article |
| series | GEPROS: Gestão da Produção, Operações e Sistemas |
| spelling | doaj.art-7710f8f8d9a8443dae9b4641fb31432d2022-12-22T01:59:57ZengUniversidade Estadual PaulistaGEPROS: Gestão da Produção, Operações e Sistemas1984-24302018-03-0113117720510.15675/gepros.v13i1.2016Financial time series forecast using artificial neural networks: a comparative in the 2008 crisisDebora Barbosa AiresRonaldo César DamettoAntonio Fernando CrepaldiArtificial Neural Networks (ANN) have been used in different segments inside the area of finance such as stock prices and market indices forecast. This article seeks to measure the power of ANN on the Bovespa Index and the prediction of stock prices, verifying their forecast power even in times of crisis. Therefore, time series of over a decade were extracted from Yahoo! Finance, including the period of the subprime crisis and its temporal neighborhoods. ANN were performed using Matlab 2016a software with satisfactory results, which were evaluated by scattergrams errors and Mean Absolute Percentage Error (MAPE) method.http://revista.feb.unesp.br/index.php/gepros/article/view/2016Artificial Neural NetworksIbovespaABEV3ITUB4Stock MarketPrices ForecastSubprime Crisis |
| spellingShingle | Debora Barbosa Aires Ronaldo César Dametto Antonio Fernando Crepaldi Financial time series forecast using artificial neural networks: a comparative in the 2008 crisis GEPROS: Gestão da Produção, Operações e Sistemas Artificial Neural Networks Ibovespa ABEV3 ITUB4 Stock Market Prices Forecast Subprime Crisis |
| title | Financial time series forecast using artificial neural networks: a comparative in the 2008 crisis |
| title_full | Financial time series forecast using artificial neural networks: a comparative in the 2008 crisis |
| title_fullStr | Financial time series forecast using artificial neural networks: a comparative in the 2008 crisis |
| title_full_unstemmed | Financial time series forecast using artificial neural networks: a comparative in the 2008 crisis |
| title_short | Financial time series forecast using artificial neural networks: a comparative in the 2008 crisis |
| title_sort | financial time series forecast using artificial neural networks a comparative in the 2008 crisis |
| topic | Artificial Neural Networks Ibovespa ABEV3 ITUB4 Stock Market Prices Forecast Subprime Crisis |
| url | http://revista.feb.unesp.br/index.php/gepros/article/view/2016 |
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