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Using neural networks to forecast the systematic risk of stocks

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  • Wittkemper, Hans-Georg
  • Steiner, Manfred

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  • Wittkemper, Hans-Georg & Steiner, Manfred, 1996. "Using neural networks to forecast the systematic risk of stocks," European Journal of Operational Research, Elsevier, vol. 90(3), pages 577-588, May.
    • Handle: RePEc:eee:ejores:v:90:y:1996:i:3:p:577-588
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    References listed on IDEAS

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    1. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    2. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-795, June.
    3. Klemkosky, Robert C & Martin, John D, 1975. "The Adjustment of Beta Forecasts," Journal of Finance, American Finance Association, vol. 30(4), pages 1123-1128, September.
    4. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
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    Cited by:

    1. Erdinc Akyildirim & Oguzhan Cepni & Shaen Corbet & Gazi Salah Uddin, 2023. "Forecasting mid-price movement of Bitcoin futures using machine learning," Annals of Operations Research, Springer, vol. 330(1), pages 553-584, November.
    2. Jeonggyu Huh, 2018. "Measuring Systematic Risk with Neural Network Factor Model," Papers 1809.04925, arXiv.org.
    3. Huh, Jeonggyu, 2020. "Measuring systematic risk with neural network factor model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    4. Mak, Brenda & Blanning, Robert & Ho, Susanna, 2006. "Genetic algorithms in logic tree decision modeling," European Journal of Operational Research, Elsevier, vol. 170(2), pages 597-612, April.
    5. Mark T. Leung & An-Sing Chen, 2005. "Performance evaluation of neural network architectures: the case of predicting foreign exchange correlations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(6), pages 403-420.
    6. Klemz, Bruce R., 1999. "Using genetic algorithms to assess the impact of pricing activity timing," Omega, Elsevier, vol. 27(3), pages 363-372, June.
    7. Lukas Ryll & Sebastian Seidens, 2019. "Evaluating the Performance of Machine Learning Algorithms in Financial Market Forecasting: A Comprehensive Survey," Papers 1906.07786, arXiv.org, revised Jul 2019.
    8. Chan, Tze-Haw & Lye, Chun Teck & Hooy, Chee-Wooi, 2010. "Forecasting Malaysian Exchange Rate: Do Artificial Neural Networks Work?," MPRA Paper 26326, University Library of Munich, Germany.
    9. Gradojevic, Nikola & Kukolj, Dragan & Adcock, Robert & Djakovic, Vladimir, 2023. "Forecasting Bitcoin with technical analysis: A not-so-random forest?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 1-17.
    10. Muradoglu, Gulnur & Zaman, Asad & Orhan, Mehmet, 2003. "Measuring the Systematic Risk of IPO’s Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange," MPRA Paper 13879, University Library of Munich, Germany.

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