FORECASTING MUTUAL FUND NET ASSET VALUES USING ARTIFICIAL NEURAL NETWORKS

Veli Akel and Fikriye Karacameydan ()
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Fikriye Karacameydan: Bozok University

Anadolu University Journal of Social Sciences, 2012, vol. 12, issue 2, 87-106

Abstract: This study aims to forecast net asset values of Turkish mutual funds using Artificial Neural Networks (ANN) method. In order to forecast net asset values of 38 mutual funds (19 A type and 19 B type), 6 macro economic variables are used in the period of January 2001-December 2008. Net asset values of mutual funds have been forecasted within the frame of both ANN and regression model and forecasting performances of the methods have been compared. Analysis results reveal that ANN method is capable of forecasting net asset values of mutual funds at a very low error level and seems to outperform regression method.

Keywords: Mutual Funds; Net Asset Value; Artificial Neural Network; Financial Forecasting (search for similar items in EconPapers)
JEL-codes: G17 G23 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:and:journl:v:12:y:2012:i:2:p:87-106

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