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Predicciones de modelos econométricos y redes neuronales: el caso de la acción de SURAMINV

Author

Listed:
  • Jaime Enrique Arrieta Bechara
  • Juan Camilo Torres Cruz
  • Hermilson Velásquez Ceballos

Abstract

El objetivo del presente estudio radica en construir algunos modelos estadísticos, econométricosy de inteligencia artificial que permitan realizar predicciones sobre el comportamientode mercado de la acción de SURAMINV (Suramericana de Inversiones S. A.).Se obtuvo evidencia a favor de la utilización de modelos econométricos y de inteligenciaartificial construidos a partir de componentes principales, los cuales permiten lograrpredicciones sobre el comportamiento diario de la acción de SURAMINV, contrastandola hipótesis de la teoría de eficiencia débil de mercado. El trabajo va más allá que otrosdesarrollados sobre el tema, en el sentido de que más que lograr un buen pronóstico insample busca obtener resultados out of sample, controlando de esta manera la existenciade data snooping y, por tanto, suministrando información que puede ser aprovechada enestrategias de negociación.

Suggested Citation

  • Jaime Enrique Arrieta Bechara & Juan Camilo Torres Cruz & Hermilson Velásquez Ceballos, 2010. "Predicciones de modelos econométricos y redes neuronales: el caso de la acción de SURAMINV," Revista Semestre Económico, Universidad de Medellín, September.
    • Handle: RePEc:col:000217:007379
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    More about this item

    Keywords

    Red neuronal artificial (RNA); inteligencia artificial; modelos econométricos; análisis decomponentes principales (ACP); eficiencia de mercado.;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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