Modeling of NASDAQ-GEM stock price relationship using neural network
Refereed conference paper presented and published in conference proceedings

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AbstractIt is believed that the NASDAQ index has been one of the major "news" affecting the GEM stock prices. In order to understand the complex relationship between this index and the GEM stock prices, the time-series models using this index as exogenous input are studied. In addition, the correlation between this index and the GEM stock prices, and the reduction of error variance using neural networks are investigated. Based on the significance of this NASDAQ effect, seven GEM stocks are extracted and examined using different neural networks. In sample and out-of-sample tests are performed using this index or the change of this index as the exogenous input. A comparison among different neural networks is given.
All Author(s) ListNg HS, Lam KP
Name of ConferenceIEEE International Conference on Management of Innovation and Technology (ICMIT 2000)
Start Date of Conference12/11/2000
End Date of Conference15/11/2000
Place of ConferenceSINGAPORE
Country/Region of ConferenceSingapore
Detailed description(Management in the 21st Century) vol.1
Year2000
Month1
Day1
PublisherIEEE
Pages41 - 46
ISBN0-7803-6652-2
LanguagesEnglish-United Kingdom
KeywordsGrowth Enterprise Market; NASDAQ index; neural networks; time series models
Web of Science Subject CategoriesComputer Science; Computer Science, Information Systems; Engineering; Engineering, Industrial; Engineering, Manufacturing

Last updated on 2020-02-12 at 00:16