Evaluating direction-of-change forecasting: Neurofuzzy models vs. neural networks

Direction-of-change forecasting using a

Direction-of-change forecasting using a volatility-based recurrent neural network

✍ S. D. Bekiros; D. A. Georgoutsos 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 114 KB

## Abstract This paper investigates the profitability of a trading strategy, based on recurrent neural networks, that attempts to predict the direction‐of‐change of the market in the case of the NASDAQ composite index. The sample extends over the period 8 February 1971 to 7 April 1998, while the su