Bekiros, S. D.; Georgoutsos, D. A. - In: Journal of Forecasting 27 (2008) 5, pp. 407-417
This paper investigates the profitability of a trading strategy, based on recurrent neural networks, that attempts to predict the direction-of-change of the market in the case of the NASDAQ composite index. The sample extends over the period 8 February 1971 to 7 April 1998, while the sub-period...
