Historical identification and forecast values of IBEX 35 & IPC financial indices using differential neural networks

Ortiz Arango, Francisco; Cabrera Llanos, Agustín Ignacio

Historical identification and forecast values of IBEX 35 & IPC financial indices using differential neural networks

Journal

European Journal of Economics, Finance and Administrative Sciences

Date Issued

2012

Author(s)

Ortiz Arango, Francisco

Facultad de Ciencias Económicas y Empresariales - CampCM

Cabrera Llanos, Agustín Ignacio

Type

text::journal::journal article

URL

https://scripta.up.edu.mx/handle/20.500.12552/1839

Abstract

One of the main objectives of quantitative analysis in Finance is to be able to make accurate forecasts of prices and yields from financial assets, the question is to find reliable methods and techniques to perform properly such forecasts. In the early 1990 ́s while pursuing better results the use of artificial neural networks (ANN) started, this technique was only used as a tool of monitoring and description of values, but later it evolved into a way of forecasting the behavior of economic and financial variables, achieving promising results. In this paper we present one of the first applications in finance of the Differential Neural Networks (DNN), we use that to carry out two processes: the description of daily closing values of financial index IBEX 35 (Madrid Stock Exchange) and the IPC index (Mexican Stock Exchange), both from January 3, 2000 to January 20, 2012. Later, we perform the forecast of daily closing values of these indices from January 23 to February 17, 2012. The results obtained in the description and forecast of the closing values of both indices were excellent, which makes it extremely attractive to continue the study of this methodology to carry out these forecasts.