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
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