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Quantitative Forecasting and Modeling Stock Price Fluctuations

In: Practical Fruits of Econophysics

Author

Listed:
  • Serge Hayward

    (Ecole Supérieure de Commerce de Dijon)

Abstract

Considering the effect of economic agents’ preferences on their actions, relationships between conventional summary statistics and forecasts’ profit are investigated. Analytical examination demonstrates that investors’ utility maximization is determined by their risk attitude. The computational experiment rejects the claims that the accuracy of the forecast does not depend upon which error-criteria are used. Profitability of networks trained with L6 loss function appeared to be statistically significant and stable.

Suggested Citation

  • Serge Hayward, 2006. "Quantitative Forecasting and Modeling Stock Price Fluctuations," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 99-106, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_17
    DOI: 10.1007/4-431-28915-1_17
    as

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