Forecasting price increments using an artificial Neural Network
Disordered Systems and Neural Networks
2007-05-23 v1
Abstract
Financial forecasting is a difficult task due to the intrinsic complexity of the financial system. In the present paper we relate our experience using neural nets as financial time series forecast method. In particular we show that a neural net able to forecast the sign of the price increments with a success rate slightly above 50 percent can be found.
Cite
@article{arxiv.cond-mat/0006486,
title = {Forecasting price increments using an artificial Neural Network},
author = {Filippo Castiglione},
journal= {arXiv preprint arXiv:cond-mat/0006486},
year = {2007}
}
Comments
12 pages, 5 figures (to be published in Advances in Complex Systems, as the Proceeding of the WE-Heraeus Workshop on "Economic Dynamics from the Physics Point of View", Bad Honnef, Germany, March 27-30, 2000