This study investigates the usefulness and efficacy of a multiobjective decision method for financial trading guided by a set of seemingly diverse analysts' forecasts. The paper proposes a goal programming (GP) approach which combines various forecasts based on the performance of their previous...

Predicting currency movements has always been a problematic task as most conventional econometric models are not able to forecast exchange rates with significantly higher accuracy than a naive random walk model. For large multinational firms which conduct substantial currency transfers in the...

Despite abundant research which focuses on estimating the level of return on stock market index, there is a lack of studies examining the predictability of the direction/sign of stock index movement. Given the notion that a prediction with little forecast error does not necessarily translate...

We apply the bootstrap technique proposed by Kosowski <italic>et al</italic>. [<italic>J. Finance</italic>, 2006, <bold>61</bold>, 2551--2595] in conjunction with Carhart's [<italic>J. Finance</italic>, 1997, <bold>52</bold>, 57--82] unconditional and Ferson and Schadt's [<italic>J. Finance</italic>, 1996, <bold>51</bold>, 425--461] conditional four-factor models of performance to examine whether...

In the last decade, neural networks have drawn noticeable attention from many computer and operations researchers. While some previous studies have found encouraging results with using this artificial intelligence technique to predict the movements of established financial markets, it is...