The contribution of this paper is the inclusion of the South African market risk premium to the forecasting exercise and its direct comparison with US forecasting results. The market risk premium is defined as the expected rate of return on the market portfolio in excess of the short-term interest rate for each market. All data are taken from January 2007 till December 2014 on a daily basis.
Elman networks provide superior results among the tested models in both insample and out-of sample periods as well as among the tested markets. In general, neural networks beat the naive benchmark model and achieve to perform better than the rest of their linear tested counterparts.
We document using the ZEW panel of German stock market forecasters that weak forecasters tend to be overconfident in the sense that they provide extreme forecasts and their confidence intervals are less likely to contain eventual realizations. Moderate filters based on forecast accuracy over short rolling windows are somewhat successful in improving predictability. While poor performance can be due to various factors, a filter based on a prior tendency to provide extreme forecasts also improves predictability.
Anybody using NN in forex?
thanks for to all of your efforts,do you think this is also a kind of logical predictability,have a look at under given site.
plz review the above mentioned site,i think it is more close to real forecasting.
notice ... it is not and never a kind of ad but i think it give traders a genuine reason why and which pair to trade.
Small contribution from my side - I found this book very interesting - http://www.amazon.com/Why-Stock-Markets-Crash-Financial/dp/0691118507