Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Artículo científico |
| Sprache: | en |
| Veröffentlicht: |
Instituto Mexicano de Ejecutivos de Finanzas A.C.
2022
|
| Schlagworte: | |
| Online-Zugang: | https://www.redalyc.org/articulo.oa?id=423772994006 https://www.redalyc.org/journal/4237/423772994006/ https://www.redalyc.org/journal/4237/423772994006/html/ https://www.redalyc.org/journal/4237/423772994006/423772994006.epub https://www.redalyc.org/journal/4237/423772994006/movil |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Inhaltsangabe:
- Neuro-wavelet Model for price prediction in high-frequency data in the Mexican Stock market Ricardo Massa Roldán Montserrat Reyna Miranda Vicente Gómez Salcido Economía y Finanzas C45 C53 C88 G14 G17 With the availability of high frequency data and new techniques for the management of noise in signals, we revisit the question, can we predict financial asset prices? The present work proposes an algorithm for next-step log-return prediction. Data in frequencies from 1 to 15 minutes, for 25 high capitalization assets in the Mexican market were used. The model applied consists on a wavelet followed by a Long Short-Term Memory neural network (LSTM). Application of either wavelets or neural networks in finance are common, the novelty comes from the application of the particular architecture proposed. The results show that, on average, the proposed LSTM neuro-wavelet model outperforms both an ARIMA model and a benchmark dense neural network model. We conclude that, although further research (in other stock markets, at higher frequencies, etc.) is in order, given the ever increasing technical capacity of market participants, the inclusion of the LSTM neuro-wavelet model is a valuable addition to the market participant toolkit, and might pose an advantage to traditional predictive tools. 2022 artículo científico 1665-5346 https://www.redalyc.org/articulo.oa?id=423772994006 https://www.redalyc.org/journal/4237/423772994006/ https://www.redalyc.org/journal/4237/423772994006/html/ https://www.redalyc.org/journal/4237/423772994006/423772994006.epub https://www.redalyc.org/journal/4237/423772994006/movil 10.21919/remef.v17i1.570 en http://www.redalyc.org/revista.oa?id=4237 Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance application/pdf Instituto Mexicano de Ejecutivos de Finanzas A.C. Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance (México) Num.1 Vol.17