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Predicting the return of a stock-index: A comparison between an Artificial Neural Network and GARCH-simulations
Stockholm University, Faculty of Social Sciences, School of Business.
2004 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis discusses some of the theories and practices regarding the possibilities of predicting the future return of a stock index. Two different methods, an Artificial Neural Network and GARCH-simulations, are used for predicting the future return of the stock index SAX All-Share on Stockholmsbörsen. The purpose of the study is to test hypothesises regarding the performance of each of the methods, given that the stock index can move either up or down. The thesis works with the following hypothesis:

Place, publisher, year, edition, pages
2004.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-5184OAI: oai:DiVA.org:su-5184DiVA: diva2:194937
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05

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