Maestría en Ciencias en Finanzas (tesis)

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Predicción del comportamiento diario de la acción de SURAMINV : redes neuronales y modelos econométricos
(Universidad EAFIT, 2009) Arrieta Bechara, Jaime Enrique; Torres Cruz, Juan Camilo; Velásquez Ceballos, Ermilson
The current study shows evidence that using statistical, econometric and artificial intelligence models it is possible to predict the daily stock price fluctuations of SURAMINV, in contrast with the weak form of efficient-market hypothesis. This study goes beyond similar ones in that besides achieving a good in sample forecast, it also aims at evaluating out of sample results. Additionally it controls the possibility of data snooping and therefore evaluates the true potential of taking advantage of the results. Furthermore, the forecasts obtained are used to analyze through negotiation systems the possibility of gaining extraordinary returns with regard to the Buy & Hold strategy.