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...

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...

In the last decade, neural networks have emerged from an esoteric instrument in academic research to a rather common tool assisting auditors, investors, portfolio managers and investment advisors in making critical financial decisions. A better understanding of the network's performance and...

Predicting exchange rates has long been a concern in international finance as most standard econometric methods are unable to produce significantly better forecasts than the random walk model. Recent studies provide some evidence for the ability of using multivariate time series models to...

Although there exists some studies which deal with the issues of forecasting stock market index and development of trading strategies, most of the empirical findings are associated with the developed financial markets (e.g., U.S., U.K., and Japan). Currently, many international investment...