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An efficient CMAC neural network for stock index forecasting

✍ Scribed by Chi-Jie Lu; Jui-Yu Wu


Book ID
113606890
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
475 KB
Volume
38
Category
Article
ISSN
0957-4174

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## Abstract We examine the out‐of‐sample performance of monthly returns forecasts for the Dow Jones and the FT, using a linear and an artificial neural network (ANN) model. The comparison of out‐of‐sample forecasts is done on the basis of directional accuracy, using the Pesaran and Timmermann (1992