Forecasting the investors behavior on the capital market in Romania: Trading strategies based on technical analysis versus Artificial Intelligence techniques

Gabriela Victoria Anghelache, Alina Lucia Trifan

Abstract


This research aims at characterizing and modelling the investors’ behaviours present on the Romanian capital market, by analyzing the behaviours proposed by the efficient markets theory and investigating the possibility of financial time series behaviour forecasting through artificial intelligence concepts and tools (artificial neural networks, fuzzy logic, neuro-fuzzy systems).

 

The analysis of various forecasting strategies has been conducted using data sets on a daily basis, on a time horizon of nine years, for a total of 22 companies listed on BSE and for the BET and BET-C exchange indexes; the research is differentiating the pre-crisis period and the crisis period.

 


Keywords


financial time series forecasting; trading strategies; artificial neural networks; fuzzy logic; neuro-fuzzy systems

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DOI: http://dx.doi.org/10.18533/ijbsr.v3i2.79

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International journal of business and social research (Print)
ISSN 2164-2540

International journal of business and social research (Online)
ISSN 2164-2559

[International Journal of Business and Social Research (IJBSR) previously published by MIR Center for Socio-Economic Research, MD, USA. From February 2018 this journal is published by the LAR Center Press, OR, USA]