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Métodos No-Lineales De Predicción En El Mercado De Valores Tecnológicos En España. Una Verificación De La Hipótesis Débil De Eficiencia

Author

Listed:
  • Marcos Álvarez-Díaz
  • Lucy Amigo Dobaño

Abstract

En los últimos años, ante los hallazgos de estructuras deterministas no-lineales en series financieras, la econometría financiera aplicada ha adoptado toda una serie de sofisticadas y potentes técnicas no-lineales de predicción. En este trabajo empleamos el método de ocurrencias análogas, redes neuronales y algoritmos genéticos para predecir la evolución del índice representativo del mercado de valores tecnológicos español, el Ibex Nuevo Mercado. El objetivo perseguido se centra en verificar si existe una cierta capacidad predictiva en su dinámica y, de esta forma, refutar la hipótesis débil de eficiencia en el segmento de cotización caracterizado por su intenso crecimiento y volatilidad como es el tecnológico. Los resultados obtenidos sólo muestran ciertas posibilidades predictivas a 1 periodo empleando la red neuronal, y a 4 y 10 periodos utilizando el algoritmo genético.

Suggested Citation

  • Marcos Álvarez-Díaz & Lucy Amigo Dobaño, 2003. "Métodos No-Lineales De Predicción En El Mercado De Valores Tecnológicos En España. Una Verificación De La Hipótesis Débil De Eficiencia," Working Papers 0303, Universidade de Vigo, Departamento de Economía Aplicada.
    • Handle: RePEc:vig:wpaper:0303
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    References listed on IDEAS

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    More about this item

    Keywords

    Stock Market efficiency; time series non linear forecasting;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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