Aplicação de Redes Neurais Polinomiais na Previsão do Ibovespa e Merval

This article analyses the efficiency of Group Method of Data Handling (GMDH) polynomial neural networks when anticipating return, on a monthly basis, on the return of the main Brazilian (Ibovespa) and Argentinean (Merval) market indicators. Initially, in order to determine the exogenous variable, we...

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Autores principales:	Everton Anger Cavalheiro, Kelmara Mendes Vieira, Paulo Sérgio Ceretta, José Carlos Severo Correa, Carlos Frederico de Oliveira Cunha
Formato:	article
Lenguaje:	PT
Publicado:	Universidade Regional do Noroeste do Estado do Rio Grande do Sul 2011
Materias:	neural networks co integration granger causality Economic growth, development, planning HD72-88
Acceso en línea:	https://doaj.org/article/e60de56adc4248a1b3a2c91ad88aa845
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spelling	oai:doaj.org-article:e60de56adc4248a1b3a2c91ad88aa8452021-11-11T15:16:05ZAplicação de Redes Neurais Polinomiais na Previsão do Ibovespa e Merval1678-48552237-6453https://doaj.org/article/e60de56adc4248a1b3a2c91ad88aa8452011-01-01T00:00:00Zhttp://www.redalyc.org/articulo.oa?id=75220806009https://doaj.org/toc/1678-4855https://doaj.org/toc/2237-6453This article analyses the efficiency of Group Method of Data Handling (GMDH) polynomial neural networks when anticipating return, on a monthly basis, on the return of the main Brazilian (Ibovespa) and Argentinean (Merval) market indicators. Initially, in order to determine the exogenous variable, we calculated the logarithmical return on each index. Afterwards, in order to determine the endogenous variables, we have performed t-1, t-2 and t-3 lags on the exogenous variable. We computed up to nine front fed layers. Results suggest some predictability on both markets, denoting some inefficiency. Inefficiency, especially on the Argentinean market, is validated by the additional causality Granger tests that demonstrate the influence of the São Paulo Stock Market over the Buenos Aires Stock Market and no such influence the other way round.Everton Anger CavalheiroKelmara Mendes VieiraPaulo Sérgio CerettaJosé Carlos Severo CorreaCarlos Frederico de Oliveira CunhaUniversidade Regional do Noroeste do Estado do Rio Grande do Sularticleneural networkscointegrationgranger causalityEconomic growth, development, planningHD72-88PTDesenvolvimento em Questão, Vol 9, Iss 18, Pp 196-224 (2011)
institution	DOAJ
collection	DOAJ
language	PT
topic	neural networks co integration granger causality Economic growth, development, planning HD72-88
spellingShingle	neural networks co integration granger causality Economic growth, development, planning HD72-88 Everton Anger Cavalheiro Kelmara Mendes Vieira Paulo Sérgio Ceretta José Carlos Severo Correa Carlos Frederico de Oliveira Cunha Aplicação de Redes Neurais Polinomiais na Previsão do Ibovespa e Merval
description	This article analyses the efficiency of Group Method of Data Handling (GMDH) polynomial neural networks when anticipating return, on a monthly basis, on the return of the main Brazilian (Ibovespa) and Argentinean (Merval) market indicators. Initially, in order to determine the exogenous variable, we calculated the logarithmical return on each index. Afterwards, in order to determine the endogenous variables, we have performed t-1, t-2 and t-3 lags on the exogenous variable. We computed up to nine front fed layers. Results suggest some predictability on both markets, denoting some inefficiency. Inefficiency, especially on the Argentinean market, is validated by the additional causality Granger tests that demonstrate the influence of the São Paulo Stock Market over the Buenos Aires Stock Market and no such influence the other way round.
format	article
author	Everton Anger Cavalheiro Kelmara Mendes Vieira Paulo Sérgio Ceretta José Carlos Severo Correa Carlos Frederico de Oliveira Cunha
author_facet	Everton Anger Cavalheiro Kelmara Mendes Vieira Paulo Sérgio Ceretta José Carlos Severo Correa Carlos Frederico de Oliveira Cunha
author_sort	Everton Anger Cavalheiro
title	Aplicação de Redes Neurais Polinomiais na Previsão do Ibovespa e Merval
title_short	Aplicação de Redes Neurais Polinomiais na Previsão do Ibovespa e Merval
title_full	Aplicação de Redes Neurais Polinomiais na Previsão do Ibovespa e Merval
title_fullStr	Aplicação de Redes Neurais Polinomiais na Previsão do Ibovespa e Merval
title_full_unstemmed	Aplicação de Redes Neurais Polinomiais na Previsão do Ibovespa e Merval
title_sort	aplicação de redes neurais polinomiais na previsão do ibovespa e merval
publisher	Universidade Regional do Noroeste do Estado do Rio Grande do Sul
publishDate	2011
url	https://doaj.org/article/e60de56adc4248a1b3a2c91ad88aa845
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Aplicação de Redes Neurais Polinomiais na Previsão do Ibovespa e Merval

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