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A hybrid approach based on neural networks and genetic algorithms to the study of profitability in the Spanish Stock Market

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  • Mariano Matilla-Garcia
  • Carlos Arguello

Abstract

This paper studies predictability and profitability of using neural networks (NN) in the Spanish security market. This is carried out through a hybrid approximation which entails evolving a genetic algorithm in order to obtain an optimal NN's architecture. To that end, (NNs) forecasts are transformed into a simple trading strategy, whose profitability is evaluated against a simple buy-and-hold strategy.

Suggested Citation

  • Mariano Matilla-Garcia & Carlos Arguello, 2005. "A hybrid approach based on neural networks and genetic algorithms to the study of profitability in the Spanish Stock Market," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 303-308.
    • Handle: RePEc:taf:apeclt:v:12:y:2005:i:5:p:303-308
    DOI: 10.1080/1350485042000329103
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    References listed on IDEAS

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