Forecasting Price Increments Using an Artiicial Neural Network

Financial forecasting is a di cult task due to the intrinsic com plexity of the nancial system A simpli ed approach in forecasting is given by black box methods like neural networks that assume little about the structure of the economy In the present paper we relate our experience using neural nets as nancial time series forecast method In particular we show that a neural net able to forecast the sign of the price increments with a success rate slightly above percent can be found Target series are the daily closing price of di erent assets and indexes during the period from about January to February