Prediction risk and the forecasting of stock market indexes

Arbeitspapier

In most of the empirical research on capital markets, stock market indexes are used as proxies for the aggregate market development. In previous work we found that a particular market segment might be less efficient than the whole market and hence easier to forecast. In this paper we extend the focus of this investigation by taking a comprehensive look at the Vienna Stock Exchange. We use feedforward networks and linear models to forecast the all share index WBI as well as various subindexes covering the highly liquid, semi-liquid, and initial public offering (IPO) market segment. In order to shed some light on network construction principles, we compare different models as selected by hold-out crossvalidation (HCV), Akaike's information criterion (AIC), and Schwartz' information criterion (SIC). The forecasts are subsequently evaluated on the basis of hypothetical trading in the out-of-sample period.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Reihe Ökonomie / Economics Series ; No. 20

Classification and Topics

• Classification: Wirtschaft ; Neural Networks and Related Topics ; Model Evaluation, Validation, and Selection ; Forecasting Models; Simulation Methods ; Index Numbers and Aggregation; Leading indicators
• Subject: neural network architecture selection ; information criteria ; stock market indexes ; trading strategy ; Finanzmarkt ; Börsenkurs ; Neuronale Netze ; Prognoseverfahren ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Haefke, Christian ; Helmenstein, Christian
• Event: Veröffentlichung
• (who): Institute for Advanced Studies (IHS)
• (where): Vienna
• (when): 1995

Further information

• Handle: http://hdl.handle.net/10419/68650
• Last update: 10.03.2025, 11:46 AM CET