EconPapers    
Economics at your fingertips  
 

Artificial Neural Networks in Finance Modelling

Crescenzio Gallo ()

Experimental from EconWPA

Abstract: The study of Artificial Neural Networks derives from first trials to translate in mathematical models the principles of biological “processing”. An Artificial Neural Network deals with generating, in the fastest times, an implicit and predictive model of the evolution of a system. In particular, it derives from experience its ability to be able to recognize some behaviours or situations and to “suggest” how to take them into account. This work illustrates an approach to the use of Artificial Neural Networks for Financial Modelling; we aim to explore the structural differences (and implications) between one- and multi- agent and population models. In one-population models, ANNs are involved as forecasting devices with wealth-maximizing agents (in which agents make decisions so as to achieve an utility maximization following non- linear models to do forecasting), while in multi-population models agents do not follow predetermined rules, but tend to create their own behavioural rules as market data are collected. In particular, it is important to analyze diversities between one-agent and one-population models; in fact, in building one-population model it is possible to illustrate the market equilibrium endogenously, which is not possible in one-agent model where all the environmental characteristics are taken as given and beyond the control of the single agent. A particular application we aim to study is the one regarding “customer profiling”, in which (based on personal and direct relationships) the “buying” behaviour of each customer can be defined, making use of behavioural inference models such as the ones offered by Artificial Neural Networks much better than traditional statistical methodologies.

Keywords: Artificial Neural Network; Financial Modelling; Customer Profiling (search for similar items in EconPapers)
JEL-codes: C9 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cbe, nep-cmp and nep-for
Date: 2005-09-07
Note: Type of Document - pdf; pages: 13.
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://econwpa.repec.org/eps/exp/papers/0509/0509002.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpex:0509002

Access Statistics for this paper

More papers in Experimental from EconWPA
Series data maintained by EconWPA ().

 
Page updated 2017-07-29
Handle: RePEc:wpa:wuwpex:0509002