IDEAS home Printed from https://ideas.repec.org/p/cfe/wpcefa/2007_05.html
   My bibliography  Save this paper

Aplicacao das Redes Neuronais Artificiais a Deteccao dos Mercados Euronext Mais Rentaveis

Author

Listed:
  • Paulo Horta

    () (CMVM)

  • Carlos Mendes

    () (Universidade Nova de Lisboa, Faculdade de Ciencias e Tecnologia)

Abstract

Com este estudo investigasse a possibilidade de utilizacao de uma rede neuronial artificial na deteccao dos mercados de accoes da Euronext que proporcionam a melhor rendibilidade diaria. A rede, treinada com o algoritmo de Levenberg-Marquardt, recomenda a um investidor hipotetico a escolha do Indice de precos representativo do mercado que se preve que maior rendibilidade oferece no dia de negociacao seguinte. Verifica-se que as recomendacoes da rede superam as rendibilidades dos benchmarks nos primeiros meses de 2007. O teste de Pesaran-Timmermann permite concluir que os resultados obtidos na previsao da direccao dos movimentos dos mercados Euronext (subida ou descida) nao sao devidos ao acaso. De igual modo, a matriz das classificacoes permite concluir que o desempenho do modelo na classificacao diaria de cada mercado em "1º melhor", "2º melhor", "3º melhor" ou "4º melhor", tambem nao e fruto do "acaso maximo" ou do "acaso proporcional". Finalmente, como se utilizou, por um lado, uma rede do tipo feedforward com quatro neuronios na camada de output e, por outro lado, como se efectuou uma experiencia de bootstrap que mostra que as elasticidades dos mercados sao, em geral, estatisticamente significativas, conclui-se que os mercados Euronext estao significativamente relacionados entre si, deixando assim em aberto a possibilidade dos agentes do mercado (v.g. gestores de carteiras) potenciarem a rentabilizacao dos seus investimentos recorrendo a este tipo de modelos neuronais.

Suggested Citation

  • Paulo Horta & Carlos Mendes, 2007. "Aplicacao das Redes Neuronais Artificiais a Deteccao dos Mercados Euronext Mais Rentaveis," CEFAGE-UE Working Papers 2007_05, University of Evora, CEFAGE-UE (Portugal).
  • Handle: RePEc:cfe:wpcefa:2007_05
    as

    Download full text from publisher

    File URL: http://www.cefage.uevora.pt/en/content/download/943/12200/version/1/file/2007_05.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Black, Bernard S. & Gilson, Ronald J., 1998. "Venture capital and the structure of capital markets: banks versus stock markets," Journal of Financial Economics, Elsevier, vol. 47(3), pages 243-277, March.
    2. Da Rin, Marco & Nicodano, Giovanna & Sembenelli, Alessandro, 2006. "Public policy and the creation of active venture capital markets," Journal of Public Economics, Elsevier, pages 1699-1723.
    3. Ari Hyytinen & Otto Toivanen, 2003. "Asymmetric Information and the Market Structure of the Venture Capital Industry," Journal of Financial Services Research, Springer;Western Finance Association, vol. 23(3), pages 241-249, June.
    4. Gompers, Paul & Lerner, Josh, 1999. "Conflict of Interest in the Issuance of Public Securities: Evidence from Venture Capital," Journal of Law and Economics, University of Chicago Press, vol. 42(1), pages 1-28, April.
    5. Romain, Astrid & Pottelsberghe de la Potterie, Bruno van, 2003. "The Determinants of Venture Capital: A Panel Data Analysis of 16 OECD Countries," IIR Working Paper 03-25, Institute of Innovation Research, Hitotsubashi University.
    6. Brav, Alon & Gompers, Paul A, 1997. " Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies," Journal of Finance, American Finance Association, vol. 52(5), pages 1791-1821, December.
    7. Groh, Alexander Peter & von Liechtenstein, Heinrich & Lieser, Karsten, 2010. "The European Venture Capital and Private Equity country attractiveness indices," Journal of Corporate Finance, Elsevier, vol. 16(2), pages 205-224, April.
    8. Schertler, Andrea, 2003. "Driving Forces of Venture Capital Investments in Europe: A Dynamic Panel Data Analysis," Kiel Working Papers 1172, Kiel Institute for the World Economy (IfW).
    9. Jeng, Leslie A. & Wells, Philippe C., 2000. "The determinants of venture capital funding: evidence across countries," Journal of Corporate Finance, Elsevier, vol. 6(3), pages 241-289, September.
    10. Gompers, Paul A, 1995. " Optimal Investment, Monitoring, and the Staging of Venture Capital," Journal of Finance, American Finance Association, vol. 50(5), pages 1461-1489, December.
    11. Barry, Christopher B. & Muscarella, Chris J. & Peavy, John III & Vetsuypens, Michael R., 1990. "The role of venture capital in the creation of public companies*1: Evidence from the going-public process," Journal of Financial Economics, Elsevier, vol. 27(2), pages 447-471, October.
    12. Andrea Schertler, 2005. "European venture capital markets: fund providers and investment characteristics," Applied Financial Economics, Taylor & Francis Journals, pages 367-380.
    13. Megginson, William L & Weiss, Kathleen A, 1991. " Venture Capitalist Certification in Initial Public Offerings," Journal of Finance, American Finance Association, vol. 46(3), pages 879-903, July.
    14. Gompers, Paul A., 1996. "Grandstanding in the venture capital industry," Journal of Financial Economics, Elsevier, vol. 42(1), pages 133-156, September.
    15. Audretsch, David B & Acs, Zoltan J, 1994. "New-Firm Startups, Technology, and Macroeconomic Fluctuations," Small Business Economics, Springer, vol. 6(6), pages 439-449, December.
    16. Bill Francis & Iftekhar Hasan, 2001. "The Underpricing of Venture and Nonventure Capital IPOs: An Empirical Investigation," Journal of Financial Services Research, Springer;Western Finance Association, vol. 19(2), pages 99-113, April.
    17. Paul Gompers & Josh Lerner, 1998. "Venture Capital Distributions: Short-Run and Long-Run Reactions," Journal of Finance, American Finance Association, vol. 53(6), pages 2161-2183, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Redes neuronais; feedforward; classificacao; mercados Euronext; bootstrap; avaliacao de performance; estrategias de investimento;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cfe:wpcefa:2007_05. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Pacheco). General contact details of provider: http://edirc.repec.org/data/cfevopt.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.