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Computer applications in the context of financial speculation

  • Crescenzio Gallo

    ()

  • Michelangelo De Bonis
  • Pierpaolo Palazzo

Prediction of various market indicators is an important issue in finance. This can be accomplished through computer models and related applications to finance, and in particular through Artificial Neural Networks (ANNs) which have been used in stock market prediction and exchange rates during the last decade. The prediction of financial values (such as stock/exchange rate index as well as daily direction of change in the index) with neural networks has been investigated and, in some applications, it turned out that artificial neural networks have both great advantages and some limitations for learning the data patterns and predicting future values of the financial phenomenon under analysis. In this paper we analyze the particular financial market called FOREX and the way ANNs can make affordable predictions on the evolution of exchange rates between currencies.

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Paper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number 02-2012.

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Length: 39 pages
Date of creation: May 2012
Date of revision:
Handle: RePEc:ufg:qdsems:02-2012
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  1. Bredin, Don & Hyde, Stuart, 2002. "Forex Risk: Measurement and Evaluation using Value-at-Risk," Research Technical Papers 6/RT/02, Central Bank of Ireland.
  2. Maurice J. Roche & Michael J. Moore, 1999. "Less of a puzzle: a new look at the forward forex market," Economics, Finance and Accounting Department Working Paper Series n910799, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  3. Jorion, Philippe & Sweeney, Richard J., 1996. "Mean reversion in real exchange rates: evidence and implications for forecasting," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 535-550, August.
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