Stock performance modeling using neural networks: a comparative study with regression models

AN Refenes, A Zapranis, G Francis - Neural networks, 1994 - Elsevier
We examine the use of neural networks as an alternative to classical statistical techniques
for forecasting within the framework of the APT (arbitrage pricing theory) model for stock …

Volatility spillovers and dynamic correlation in European bond markets

VD Skintzi, AN Refenes - … of International Financial Markets, Institutions and …, 2006 - Elsevier
This paper examines the dynamic linkages among the European bond markets. We model
the price and volatility spillovers from the US bond market and the aggregate Euro area bond …

Currency exchange rate prediction and neural network design strategies

AN Refenes, M Azema-Barac, L Chen… - Neural Computing & …, 1993 - Springer
This paper describes a non trivial application in forecasting currency exchange rates, and its
implementation using a multi-layer perceptron network. We show that with careful network …

Neural network applications in financial asset management

AN Refenes, M Azema-Barac - Neural Computing & Applications, 1994 - Springer
Modelling of financial systems has traditionally been done in partial equilibrium. Such models
have been very useful in expanding our understanding of the capital markets; nevertheless…

Financial time series modelling with discounted least squares backpropagation

AN Refenes, Y Bentz, DW Bunn, AN Burgess… - Neurocomputing, 1997 - Elsevier
We propose a simple modification to the error backpropagation procedure which takes into
account gradually changing input-output relations. The procedure is based on the principle of …

Neural networks in financial engineering: A study in methodology

APN Refenes, AN Burgess… - IEEE transactions on …, 1997 - ieeexplore.ieee.org
Neural networks have shown considerable successes in modeling financial data series.
However, a major weakness of neural modeling is the lack of established procedures for …

Implied correlation index: A new measure of diversification

VD Skintzi, APN Refenes - Journal of Futures Markets: Futures …, 2005 - Wiley Online Library
Most approaches in forecasting future correlation depend on the use of historical information
as their basic information set. Recently, there have been some attempts to use the notion of …

Realized volatility models and alternative Value-at-Risk prediction strategies

DP Louzis, S Xanthopoulos-Sisinis, AP Refenes - Economic Modelling, 2014 - Elsevier
We assess the Value-at-Risk (VaR) forecasting performance of recently proposed realized
volatility (RV) models combined with alternative parametric and semi-parametric quantile …

Stock ranking: Neural networks vs multiple linear regression

AN Refenes, M Azema-Barac… - … conference on neural …, 1993 - ieeexplore.ieee.org
The use of neural networks to replace classical statistical techniques for forecasting within
the framework of the APT (Arbitrage Pricing Theory) model for stock ranking is examined. It is …

[BOOK][B] Principles of neural model identification, selection and adequacy: with applications to financial econometrics

A Zapranis, APN Refenes - 2012 - books.google.com
Neural networks have had considerable success in a variety of disciplines including engineering,
control, and financial modelling. However a major weakness is the lack of established …