Abstract
Considering the effect of economic agents’ preferences on their actions, relationships between conventional summary statistics and forecasts’ profit are investigated. Analytical examination demonstrates that investors’ utility maximization is determined by their risk attitude. The computational experiment rejects the claims that the accuracy of the forecast does not depend upon which error-criteria are used. Profitability of networks trained with L6 loss function appeared to be statistically significant and stable.
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© 2006 Springer-Verlag Tokyo
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Hayward, S. (2006). Quantitative Forecasting and Modeling Stock Price Fluctuations. In: Takayasu, H. (eds) Practical Fruits of Econophysics. Springer, Tokyo. https://doi.org/10.1007/4-431-28915-1_17
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DOI: https://doi.org/10.1007/4-431-28915-1_17
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-28914-2
Online ISBN: 978-4-431-28915-9
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