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Forecasting Mutual Fund Net Asset Values Using Artificial Neural Networks

Author

Listed:
  • Veli Akel
  • Fikriye Karacameydan

    () (Bozok University
    Gazi University)

Abstract

This study aims to forecast net asset values of Turkish mutual funds using Artificial Neural Networks (ANN) method. In order to forecast net asset values of 38 mutual funds (19 A type and 19 B type), 6 macro economic variables are used in the period of January 2001-December 2008. Net asset values of mutual funds have been forecasted within the frame of both ANN and regression model and forecasting performances of the methods have been compared. Analysis results reveal that ANN method is capable of forecasting net asset values of mutual funds at a very low error level and seems to outperform regression method.

Suggested Citation

  • Veli Akel & Fikriye Karacameydan, 2012. "Forecasting Mutual Fund Net Asset Values Using Artificial Neural Networks," Anadolu University Journal of Social Sciences, Anadolu University, vol. 12(2), pages 87-106, June.
  • Handle: RePEc:and:journl:v:12:y:2012:i:2:p:87-106
    as

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    More about this item

    Keywords

    Mutual Funds; Net Asset Value; Artificial Neural Network; Financial Forecasting;

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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