The Arbitrage Pricing Theory and the Capital Asset Pricing Models and Artificial Neural Networks Modeling with Particle Swarm Optimization (PSO).
Author | : Eleftherios Giovanis |
Publisher | : |
Total Pages | : 19 |
Release | : 2009 |
ISBN-10 | : OCLC:1290263365 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book The Arbitrage Pricing Theory and the Capital Asset Pricing Models and Artificial Neural Networks Modeling with Particle Swarm Optimization (PSO). written by Eleftherios Giovanis and published by . This book was released on 2009 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine two stocks of Athens Exchange Stock Market, that of 'Coca-Cola' and 'Compucon'. We analyze the arbitrage pricing theory (APT) model and the Capital Asset Pricing Model (CAPM) and we compare the performance between them. Then we develop a neural network model in Synapse Software with the particle swarm optimization algorithm and show the flexibility of hybrid models and the Synapse software, as the superiority in forecasting performance, in relation to the traditional econometric methodology , like Ordinary least square and ARCH-GARCH estimations.