Testing the predictability of the Cyprus Stock Exchange: the case of an emerging market

Author

Andreou, Andreas S. ; Neocleous, Constantinos C. ; Schizas, Christos N. ; Toumpouris, Costas

Author_Institution

Dept. of Comput. Sci., Cyprus Univ., Nicosia, Cyprus

Volume

6

fYear

2000

fDate

2000

Firstpage

360

Abstract

A systematic investigation of the effect of different neural network architecture alternatives for predicting the future course of stock prices in the Cyprus Stock Exchange (CSE) market is conducted. This market exhibited an abrupt increase in the general index price during the last year, thus forming a very interesting case for research purposes. The influence of various economic and political factors, from both the local and the international scene, have also been examined. The main conclusion drawn is that the CSE market is governed by unique conditions which when properly modeled can yield successful predictions

Keywords

backpropagation; feedforward neural nets; forecasting theory; neural net architecture; stock markets; Cyprus Stock Exchange; economic factors; emerging market; general index price; political factors; predictability; stock prices; Chaos; Computer aided software engineering; Computer architecture; Computer science; Economic forecasting; Layout; Neural networks; Predictive models; Stock markets; Testing;

fLanguage

English

Publisher

ieee

Conference_Titel

Neural Networks, 2000. IJCNN 2000, Proceedings of the IEEE-INNS-ENNS International Joint Conference on

Conference_Location

Como

ISSN

1098-7576

Print_ISBN

0-7695-0619-4

Type

conf

DOI

10.1109/IJCNN.2000.859422

Filename

859422