Using neural networks to forecast the systematic risk of stocks

被引：28
|
作者：
Wittkemper, HG
Steiner, M
机构：
[1] Lehrst. fur Betriebswirtschaftslehre, Schwerpunkt Finanzierung, Universität Münster, D-48143 Münster
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 1996年 / 90卷 / 03期
关键词：
neural nets; finance; forecasting; genetic algorithms;
D O I：
10.1016/0377-2217(95)00099-2
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper discusses different methods of predicting a stock's systematic risk, using the financial statements of 67 German corporations from the period 1967 to 1986. We show that the most precise forecasts are given by neural networks, whose topology has been optimized by a genetic algorithm. In addition we analyze and visualize the dependencies that influence the forecasts of a stock's systematic risk.
引用
收藏
页码：577 / 588
页数：12
相关论文
共 50 条
  • [31] Improving Time Series' Forecast Errors by Using Recurrent Neural Networks
    Ashour, Marwan Abdul Hammed
    Abbas, Rabab Alayham
    PROCEEDINGS OF 2018 7TH INTERNATIONAL CONFERENCE ON SOFTWARE AND COMPUTER APPLICATIONS (ICSCA 2018), 2018, : 229 - 232
  • [32] Rain intensity forecast using Artificial Neural Networks in Athens, Greece
    Nastos, P. T.
    Moustris, K. P.
    Larissi, I. K.
    Paliatsos, A. G.
    ATMOSPHERIC RESEARCH, 2013, 119 : 153 - 160
  • [33] Using artificial neural networks to forecast operation times in metal industry
    Kumru, Mesut
    Kumru, Pinar Yildiz
    INTERNATIONAL JOURNAL OF COMPUTER INTEGRATED MANUFACTURING, 2014, 27 (01) : 48 - 59
  • [34] Designing topological data to forecast bankruptcy using convolutional neural networks
    du Jardin, Philippe
    ANNALS OF OPERATIONS RESEARCH, 2023, 325 (02) : 1291 - 1332
  • [35] USING NEURAL NETWORKS FORECAST THE ECONOMIC LOSSES CAUSED BY STORM SURGE
    Zhao Ling-di
    Yang Ming-ye
    Bian Chun-peng
    Hao Qing
    ADVANCES IN APPLIED SCIENCE AND INDUSTRIAL TECHNOLOGY, PTS 1 AND 2, 2013, 798-799 : 987 - 991
  • [36] Using Neural Networks to Forecast the Amount of Traffic Accidents in Poland and Lithuania
    Gorzelanczyk, Piotr
    Sokolovskij, Edgar
    SUSTAINABILITY, 2025, 17 (05)
  • [37] Generation of Photovoltaic Output Power Forecast Using Artificial Neural Networks
    Elamim, A.
    Hartiti, B.
    Haibaoui, A.
    Lfakir, A.
    Thevenin, P.
    ADVANCED INTELLIGENT SYSTEMS FOR SUSTAINABLE DEVELOPMENT (AI2SD'2019): VOL 7 - ADVANCED INTELLIGENT SYSTEMS FOR SUSTAINABLE DEVELOPMENT APPLIED IN ENERGY AND ELECTRICAL ENGINEERING, 2020, 624 : 127 - 134
  • [38] Combine GARCH model and neural networks to forecast Value at Risk (VAR) in the futures market
    Chen, Cheng-Te
    Hsieh, Chin-Shan
    Chang, Hae-Ching
    JOURNAL OF STATISTICS & MANAGEMENT SYSTEMS, 2009, 12 (03): : 471 - 486
  • [39] Using Neural Networks to Forecast Available System Resources: An Approach and Empirical Investigation
    Jia, Yun-Fei
    Zhou, Zhi Quan
    Xue, Ke-Xian
    Zhao, Lei
    Cai, Kai-Yuan
    INTERNATIONAL JOURNAL OF SOFTWARE ENGINEERING AND KNOWLEDGE ENGINEERING, 2015, 25 (04) : 781 - 802
  • [40] Freeway Travel Time Forecast Using Artifical Neural Networks With Cluster Method
    Lee, Ying
    FUSION: 2009 12TH INTERNATIONAL CONFERENCE ON INFORMATION FUSION, VOLS 1-4, 2009, : 1331 - 1338
12345