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...

Although there exists a vast number of articles addressing the predictability of stock market return, most of the proposed models rely on accurate forecasting of the level (i.e., value) of the underlying stock index or its return. In most cases, the degree of accuracy and the acceptability of...

In recent years, there has been a growing trend of using multiobjective techniques. The primary advantage of using multiobjective techniques in decision making is, as stated in Spronk (1981), quot;that most of these (single objective) models and methods are unsuitable for decision situations in...

In this study, we examine the forecastability of a specific neural network architecture called General Regression Neural Network (GRNN) and compare its performance with a variety of forecasting techniques, including Multi-Layered Feedforward Network (MLFN), multivariate transfer function, and...