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Forecasting Daily and Sessional Returns of the ISE-100 Index with Neural Network Models = Yapay Sinir Ağları Modelleri ile İMKB-100 Endeksinin Günlük ve Seanslık Getirilerinin Tahmin Edilmesi

Author(s): Emin AVCI

Journal: Dogus University Journal
ISSN 1302-6739

Volume: 8;
Issue: 2;
Start page: 128;
Date: 2007;
Original page

Keywords: Artificial neural network models | Stock market forecasting | Yapay sinir ağları modelleri | Hisse senedi piyasası tahminleri

Especially for the last decade, the neural network models have been applied to solve financial problems like portfolio construction and stock market forecasting. Among the alternative neural network models, the multilayer perceptron models are expected to be effective and widely applied in financial forecasting. This study examines the forecasting power multilayer perceptron models for daily and sessional returns of ISE-100 index. The findings imply that the multilayer perceptron models presented promising performance in forecasting the ISE-100 index returns. However, further emphasis should be placed on different input variables and model architectures in order to improve the forecasting performances.
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