Quantitative Forecasting and Modeling Stock Price Fluctuations

Serge Hayward

A chapter in Practical Fruits of Econophysics, 2006, pp 99-106 from Springer

Abstract: Abstract Considering the effect of economic agents’ preferences on their actions, relationships between conventional summary statistics and forecasts’ profit are investigated. Analytical examination demonstrates that investors’ utility maximization is determined by their risk attitude. The computational experiment rejects the claims that the accuracy of the forecast does not depend upon which error-criteria are used. Profitability of networks trained with L6 loss function appeared to be statistically significant and stable.

Keywords: Artificial Neural Network; Loss Functions; Risk Preferences (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_17

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DOI: 10.1007/4-431-28915-1_17

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