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Redes neuronales en la predicción de las fluctuaciones de la economía a partir del movimiento de los mercados de capitales

Author

Listed:
  • Trigo, Loren

    (Instituto de Estudios Superiores de Administración, IESA)

  • Constanzo, Sabatino

    (Instituto de Estudios Superiores de Administración, IESA)

Abstract

This study analyzes the ability of neuronal nets to predict the direction of the U.S. and Mexican economies, with the lagged indexes of the capital markets of each country as inputs and the compound leading economic indicator index (LEI, here treated as a coincident indicator) as output. Neuronal net significant and stable predictive ability was stablished and the predictive superiority of the net with respect to a comparable multiple regression was measured using the predictive accuracy test designed by Anatolyev and Gerko.// Este estudio analiza la capacidad de las redes neuronales para predecir la dirección de las economías de los Estados Unidos y México, con los índices rezagados de los mercados de capitales de cada país como insumos y el índice compuesto de indicadores adelantados de cada país (LEI, aquí tratado como índice coincidente) como salida resultante. La capacidad predictiva estable y significativa de las redes neuronales utilizadas fue establecida y su superioridad predictiva respecto a la de una regresión múltiple comparable fue medida con el método estadístico de medición de la precisión predictiva elaborado por Anatolyev y Gerko.

Suggested Citation

  • Trigo, Loren & Constanzo, Sabatino, 2007. "Redes neuronales en la predicción de las fluctuaciones de la economía a partir del movimiento de los mercados de capitales," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(294), pages 415-440, abril-jun.
  • Handle: RePEc:elt:journl:v:74:y:2007:i:294:p:415-440
    DOI: http://dx.doi.org/10.20430/ete.v74i294.370
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    File URL: http://www.eltrimestreeconomico.com.mx/index.php/te/article/view/370/420
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    Keywords

    redes neuronales; predicción fluctuaciones; economía; mercados de capitales;

    JEL classification:

    • G - Financial Economics

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