In this research, we compare the forecasting performance of ANN and linear regression strategies in Istanbul Stock Exchange and we get some evidence of statistical and financial out perform of ANN models. Although the out-of-sample forecast accuracy statistics (RMSE, MAE and Theil's U) of ANN...

This paper examines the possible causes of the autocorrelation problem, which arises in both mature and emerging stock markets and tests the feedback trading hypothesis in the framework of behavioral finance by implementing GARCH and asymmetric GARCH models in Istanbul Stock Exchange (ISE). The...