Cognitive Learning Of Intelligence Systems Using Neural Networks: Evidence From The Australian Capital Markets

Cognitive Learning Of Intelligence Systems Using Neural Networks: Evidence From The Australian Capital Markets

Artificial neural networks (ANNs) allow users to improve forecasts through pattern recognition. The purpose of this paper is to validate ANNs as a detection tool in four financial markets. This study investigates whether market inefficiencies exist using ANN as a model. It also investigates wheth...

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Main Authors: Tan, Joachim, Wong, Edward Sek
Format: Article
Language:English
Published: Asian Academy of Management (AAM) 2002
Subjects:
HD28-70 Management. Industrial Management
Online Access:http://eprints.usm.my/35603/
http://eprints.usm.my/35603/1/AAMJ_7-2-2.pdf
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author Tan, Joachim
Wong, Edward Sek
author_facet Tan, Joachim
Wong, Edward Sek
author_sort Tan, Joachim
building USM Institutional Repository
collection Online Access
description Artificial neural networks (ANNs) allow users to improve forecasts through pattern recognition. The purpose of this paper is to validate ANNs as a detection tool in four financial markets. This study investigates whether market inefficiencies exist using ANN as a model. It also investigates whether additional publicly available information can provide investors with a trading advantage. In finance, any forecasting advantage obtained through the use of publicly available information albeit internal or/and external market factors suggest inefficiencies in the financial markets. In this paper, we explore the efficiency of the United States, Japan, Hong Kong and Australia. In Australia, using the ASX 200 index, we demonstrate how the inclusion of external information to our ANN improves our forecasting. Our results show accounting for external market signals significantly improves forecasts of the ASX200 index by an additional 10 percent. This suggests the inclusion of publicly available information from other markets, can improve predictions and returns for investors.
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language English
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publishDate 2002
publisher Asian Academy of Management (AAM)
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spelling usm-356032017-07-13T08:03:51Z http://eprints.usm.my/35603/ Cognitive Learning Of Intelligence Systems Using Neural Networks: Evidence From The Australian Capital Markets Tan, Joachim Wong, Edward Sek HD28-70 Management. Industrial Management Artificial neural networks (ANNs) allow users to improve forecasts through pattern recognition. The purpose of this paper is to validate ANNs as a detection tool in four financial markets. This study investigates whether market inefficiencies exist using ANN as a model. It also investigates whether additional publicly available information can provide investors with a trading advantage. In finance, any forecasting advantage obtained through the use of publicly available information albeit internal or/and external market factors suggest inefficiencies in the financial markets. In this paper, we explore the efficiency of the United States, Japan, Hong Kong and Australia. In Australia, using the ASX 200 index, we demonstrate how the inclusion of external information to our ANN improves our forecasting. Our results show accounting for external market signals significantly improves forecasts of the ASX200 index by an additional 10 percent. This suggests the inclusion of publicly available information from other markets, can improve predictions and returns for investors. Asian Academy of Management (AAM) 2002 Article PeerReviewed application/pdf en http://eprints.usm.my/35603/1/AAMJ_7-2-2.pdf Tan, Joachim and Wong, Edward Sek (2002) Cognitive Learning Of Intelligence Systems Using Neural Networks: Evidence From The Australian Capital Markets. Asian Academy of Management Journal (AAMJ), 7 (2). pp. 1-9. ISSN 1394-2603 http://web.usm.my/aamj/7.2.2002/AAMJ%207-2-2.pdf
spellingShingle HD28-70 Management. Industrial Management
Tan, Joachim
Wong, Edward Sek
Cognitive Learning Of Intelligence Systems Using Neural Networks: Evidence From The Australian Capital Markets
title Cognitive Learning Of Intelligence Systems Using Neural Networks: Evidence From The Australian Capital Markets
title_full Cognitive Learning Of Intelligence Systems Using Neural Networks: Evidence From The Australian Capital Markets
title_fullStr Cognitive Learning Of Intelligence Systems Using Neural Networks: Evidence From The Australian Capital Markets
title_full_unstemmed Cognitive Learning Of Intelligence Systems Using Neural Networks: Evidence From The Australian Capital Markets
title_short Cognitive Learning Of Intelligence Systems Using Neural Networks: Evidence From The Australian Capital Markets
title_sort cognitive learning of intelligence systems using neural networks: evidence from the australian capital markets
topic HD28-70 Management. Industrial Management
url http://eprints.usm.my/35603/
http://eprints.usm.my/35603/
http://eprints.usm.my/35603/1/AAMJ_7-2-2.pdf

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