This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

On the profitability of technical trading rules based on arifitial neural networks : evidence from the Madrid stock market

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Fernando Fernández-Rodríguez
Christian González-Martel*
Simón Sosvilla-Rivero

Additional information is available for the following registered author(s):

Abstract

In this paper we investigate the profitability of a simple technical trading rule based on Artificial Neural Networks (ANNs). Our results, based on applying this investment strategy to the General Index of the Madrid Stock Market, suggest that, in absence of trading costs, the technical trading rule is always superior to a buy-and-hold strategy for both "bear" market and "stable" market episodes. On the other hand, we find that the buy-and-hold strategy generates higher returns than the trading rule based on ANN only for a "bull" market subperiod.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.fedea.es/pub/Papers/1999/DT99-07.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by FEDEA in its series Working Papers with number 99-07.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation:
Date of revision:
Handle: RePEc:fda:fdaddt:99-07

Contact details of provider:
Web page: http://www.fedea.es

For technical questions regarding this item, or to correct its listing, contact: (Carmen Arias).

Related research
Keywords: Technical trading rules; Neural network models; Security markets;

Other versions of this item:

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Herce, Jose A & Sosvilla-Rivero, Simon & de Lucio, Juan Jose, 2001. " Growth and the Welfare State in the EU: A Causality Analysis," Public Choice, Springer, vol. 109(1-2), pages 55-68, October. [Downloadable!] (restricted)
    Other versions:
  2. 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. [Downloadable!] (restricted)
    Other versions:
  3. Simón Sosvilla-Rivero & Miguel Angel Galindo & Javier Alonso, . "Tax-burden convergence in Europe," Working Papers 98-13, FEDEA. [Downloadable!]
    Other versions:
  4. Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon & Andrada-Felix, Julian, 1999. "Exchange-rate forecasts with simultaneous nearest-neighbour methods: evidence from the EMS," International Journal of Forecasting, Elsevier, vol. 15(4), pages 383-392, October. [Downloadable!] (restricted)
    Other versions:
  5. Simón Sosvilla-Rivero & Julián Andrada-Félix & Fernando Fernández-Rodríguez, . "Further evidence on technical analysis and profitability of foreign exchange intervention," Working Papers 99-01, FEDEA. [Downloadable!]
  6. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada, . "Assesing the Economic Value of Nearest-neighbour Exchange-Rate Forecasts," Working Papers 98-18, FEDEA. [Downloadable!]
  7. Salvador Barrios, . "Foreign direct investment and industrial development in host countries," Working Papers 98-21, FEDEA. [Downloadable!]
  8. Raouf, BOUCEKKINE & David, DE LA CROIX & Omar, LICANDRO, 2006. "Vintage Capital," Discussion Papers (ECON - Département des Sciences Economiques) 2006014, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    Other versions:
    • Raouf Boucekkine & David de la Croix & Omar Licandro, 2006. "Vintage Capital," Economics Working Papers ECO2006/8, European University Institute. [Downloadable!]
    • BOUCEKKINE, Raouf & DE LA CROIX, David & LICANDRO, Omar, 2006. "Vintage capital," CORE Discussion Papers 2006024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  9. Olivier Blanchard & Juan F. Jimeno, . "Reducing Spanish unemployment under the EMU," Working Papers 99-02, FEDEA. [Downloadable!]
    Other versions:
  10. Namkee Ahn & Pedro Mira, . "Job bust, baby bust: The Spanish case," Studies on the Spanish Economy 12, FEDEA. [Downloadable!]
    Other versions:
  11. Boucekkine, Raouf & Germain, Marc & Licandro, Omar & Magnus, Alphonse, 2001. "Numerical solution by iterative methods of a class of vintage capital models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(5), pages 655-669, May. [Downloadable!] (restricted)
    Other versions:
  12. Irene Olloqui & Simón Sosvilla-Rivero & Javier Alonso, . "Convergencia en precios en las provincias españolas," Working Papers 99-04, FEDEA. [Downloadable!]
  13. Boucekkine, Raouf & Del Rio, Fernando & Licandro, Omar, 1999. "Endogenous vs exogenously driven fluctuations in vintage capital models," CEPREMAP Working Papers (Couverture Orange) 9901, CEPREMAP. [Downloadable!]
    Other versions:
  14. Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "Technical analysis in the Madrid stock exchange," Studies on the Spanish Economy 23, FEDEA. [Downloadable!]
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
  2. Marcos Alvarez Díaz & Lucy Amigo Dobaño & Francisco Rodríguez de Prado, . "Taxing on Housing: A Welfare Evaluation of the Spanish Personal Income Tax," Studies on the Spanish Economy 142, FEDEA. [Downloadable!]
  3. Hristos Doucouliagos, 2003. "Price Exhaustion and Number Preference: Time and Price Confluence in Australian Stock Prices," Economics Series 2003_06, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    Other versions:
  4. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO. [Downloadable!]
  5. Fernando Fernández-Rodríguez & Christian González-Martel* & Simón Sosvilla-Rivero, . "On the profitability of technical trading rules based on arifitial neural networks : evidence from the Madrid stock market," Working Papers 99-07, FEDEA. [Downloadable!]
    Other versions:
  6. Haider, Adnan & Hanif, Muhammad Nadeem, 2007. "Inflation Forecasting in Pakistan using Artificial Neural Networks," MPRA Paper 8898, University Library of Munich, Germany. [Downloadable!]
  7. Bill Cai & Charlie Cai & Kevin Keasey, 2005. "Market Efficiency and Returns to Simple Technical Trading Rules: Further Evidence from U.S., U.K., Asian and Chinese Stock Markets," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 45-60, March. [Downloadable!] (restricted)
  8. Mariano Matilla-García & Carlos Argüello, 2005. "A hybrid approach based on neural networks and genetic algorithms to the study of profitability in the Spanish Stock Market," Applied Economics Letters, Taylor and Francis Journals, vol. 12(5), pages 303-308, April. [Downloadable!] (restricted)
  9. Shigeo Kamitsuji & Ritei Shibata, 2003. "Effectiveness of Stochastic Neural Network for Prediction of Fall or Rise of TOPIX," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 187-204, September. [Downloadable!] (restricted)
  10. Julián Andrada Félix & Fernando Fernández Rodríguez & María Dolores García Artiles, 2004. "Non-linear trading rules in the New York Stock Exchange," Documentos de trabajo conjunto ULL-ULPGC 2004-05, Facultad de Ciencias Económicas de la ULPGC. [Downloadable!]
  11. Bekiros, S. & Georgoutsos, D., 2006. "Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network," CeNDEF Working Papers 06-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
    Other versions:
  12. Mariano Matilla-García, 2006. "Are trading rules based on genetic algorithms profitable?," Applied Economics Letters, Taylor and Francis Journals, vol. 13(2), pages 123-126, February. [Downloadable!] (restricted)
  13. Julián Andrada-Félix & Fernando Fernández-Rodríguez & María Dolores García-Artiles & Simón Sosvilla-Rivero, . "An Empirical Evaluation of Non-Linear Trading Rules," Working Papers 2001-16, FEDEA. [Downloadable!]
    Other versions:
  14. Andreas Krause, 2009. "Evaluating the performance of adapting trading strategies with different memory lengths," Quantitative Finance Papers 0901.0447, arXiv.org. [Downloadable!]
Statistics
Access and download statistics

Did you know? All RePEc services are meant to be be free forever, as they are all run by volunteers.

This page was last updated on 2009-11-29.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.