Prediction of the daily share price fluctuations of SURAMINV. A neural netword model

Authors

  • Jaime Enrique Arrieta Bechara Universidad EAFIT
  • Juan Camilo Torres Cruz Universidad EAFIT
  • Hermilson Velásquez Ceballos Universidad EAFIT

Keywords:

Artificial Neural Netword (ANN), prediction, Suraminv, negotiation systems.

Abstract

As opposed to the weak form of efficient-market hypothesis, the current study shows that it is possible to do good predictions about the daily share price fluctuations of Suraminv, using artificial neural network models. Furthermore, the forecasts obtained are used to analyze the possibility of gaining extraordinary returns with regard to the Buy & Hold strategy, through negotiation systems with basic rules.

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Author Biographies

  • Jaime Enrique Arrieta Bechara, Universidad EAFIT

    Magíster en Finanzas, Economista, Universidad EAFIT. Jefe Mesa Derivados Valores Bancolombia.

  • Juan Camilo Torres Cruz, Universidad EAFIT
    Magíster en Finanzas, Universidad EAFIT. Especialista en Ingeniería Financiera, Universidad Nacional de Colombia. Economista del Desarrollo, Universidad Pontificia Bolivariana.
  • Hermilson Velásquez Ceballos, Universidad EAFIT

    Dr. Ciencias Matemáticas, Universidad Politécnica de Valencia. Magíster en Matemáticas Aplicadas, Universidad EAFIT. Profesor de tiempo completo, Universidad EAFIT.

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Published

2009-12-28

Issue

Section

Research Articles

How to Cite

Arrieta Bechara, J. E., Torres Cruz, J. C., & Velásquez Ceballos, H. (2009). Prediction of the daily share price fluctuations of SURAMINV. A neural netword model. AD-Minister, 15, 32-46. https://publicaciones.eafit.edu.co/index.php/administer/article/view/202