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A hybrid approach based on neural networks and genetic algorithms to the study of profitability in the Spanish Stock Market

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  • Mariano Matilla-Garcia
  • Carlos Arguello

Abstract

This paper studies predictability and profitability of using neural networks (NN) in the Spanish security market. This is carried out through a hybrid approximation which entails evolving a genetic algorithm in order to obtain an optimal NN's architecture. To that end, (NNs) forecasts are transformed into a simple trading strategy, whose profitability is evaluated against a simple buy-and-hold strategy.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/1350485042000329103&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 12 (2005)
Issue (Month): 5 ()
Pages: 303-308

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Handle: RePEc:taf:apeclt:v:12:y:2005:i:5:p:303-308

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  1. McNelis, Paul & McAdam, Peter, 2004. "Forecasting inflation with thick models and neural networks," Working Paper Series 0352, European Central Bank.
  2. Gencay, R & Stengos, T, 1996. "Technical Trading Rules and the Size of the Risk Premium in Security Returns," Working Papers 1996-11, University of Guelph, Department of Economics and Finance.
  3. Granger, Clive W. J. & Jeon, Yongil, 2004. "Thick modeling," Economic Modelling, Elsevier, vol. 21(2), pages 323-343, March.
  4. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  5. Beenstock, Michael & Szpiro, George, 2002. "Specification search in nonlinear time-series models using the genetic algorithm," Journal of Economic Dynamics and Control, Elsevier, vol. 26(5), pages 811-835, May.
  6. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December.
  7. Fernandez-Rodriguez, Fernando & Gonzalez-Martel, Christian & Sosvilla-Rivero, Simon, 2000. "On the profitability of technical trading rules based on artificial neural networks:: Evidence from the Madrid stock market," Economics Letters, Elsevier, vol. 69(1), pages 89-94, October.
  8. Chung-Ming Kuan, 2006. "Artificial Neural Networks," IEAS Working Paper : academic research 06-A010, Institute of Economics, Academia Sinica, Taipei, Taiwan.
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