MUTUAL FUNDS RETURN FORECAST BY ARTIFICIAL NEURAL NETWORK APPROACH

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CHAVOSHI K.; SABER E.

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:4 | Issue:17 Page(s): 117-131

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Information Journal Paper

Title

MUTUAL FUNDS RETURN FORECAST BY ARTIFICIAL NEURAL NETWORK APPROACH

Author(s)

CHAVOSHI K. | SABER E. | Issue Writer Certificate

Keywords

MUTUAL FUNDSQ2

ARTIFICIAL NEURAL NETWORKSQ2

RETURNQ2

Abstract

Prediction the RETURNs is a kind of complex concepts and interests for investors and decision makers. Various models have been proposed to predict the RETURNs. This study compares the predictive power of regression model using panel data as a linear model and predictive power of artificial neural network as a nonlinear method. Therefore 13 factors effecting mutual fund is identified.To test the hypotheses of this research, data related to30 active MUTUAL FUNDS in Iran capital market during 2011 to 2013 (monthly) is investigated to predict RETURN using liner and nonliner method.The result shows that mutual fund RETURN is predictable to some extent by using mentioned models and both methods include Least squares regression and ARTIFICIAL NEURAL NETWORKS can predict the MUTUAL FUNDS RETURN, but the ARTIFICIAL NEURAL NETWORKS performance is more efficient. Also the Paired t-test shows that mean predicted RETURNs and mean actual RETURNs are not significantly different.

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APA: Copy

CHAVOSHI, K., & SABER, E.. (2014). MUTUAL FUNDS RETURN FORECAST BY ARTIFICIAL NEURAL NETWORK APPROACH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(17), 117-131. SID. https://sid.ir/paper/197767/en

Vancouver: Copy

CHAVOSHI K., SABER E.. MUTUAL FUNDS RETURN FORECAST BY ARTIFICIAL NEURAL NETWORK APPROACH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;4(17):117-131. Available from: https://sid.ir/paper/197767/en

IEEE: Copy

K. CHAVOSHI, and E. SABER, “MUTUAL FUNDS RETURN FORECAST BY ARTIFICIAL NEURAL NETWORK APPROACH,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 17, pp. 117–131, 2014, [Online]. Available: https://sid.ir/paper/197767/en

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