Index forecasting and model selection

Christian Haefke and Christian Helmenstein

Intelligent Systems in Accounting, Finance and Management, 2002, vol. 11, issue 2, 119-135

Abstract: In this paper we derive a trading strategy that exploits the informational difference implied by different stock market index construction principles. In order to gain a competitive advantage over other market participants we forecast the indexes one day ahead and subsequently generate buy and sell signals through the trading rule. To illustrate how the system works we apply it to select from those stocks that are included in the Austrian Traded Index (ATX). The forecasting of the indexes is performed on the basis of standard financial econometric techniques and feedforward neural networks. We discuss the importance of parsimonious modeling and the applicability of information criteria for architecture selection in artificial neural networks. Copyright © 2002 John Wiley & Sons, Ltd.

Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1002/isaf.214

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: https://EconPapers.repec.org/RePEc:wly:isacfm:v:11:y:2002:i:2:p:119-135

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1099-1174

Access Statistics for this article

More articles in Intelligent Systems in Accounting, Finance and Management from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().