Forecasting Price Movement of SOFIX Index on the Bulgarian Stock Exchange – Sofia using an Artificial Neural Network Model

Veselin L. Shahpazov, Vladimir B. Velev, Lyubka A. Doukovska

Abstract

The Bulgarian capital market is characterized by its relatively short history and its low liquidity, SOFIX is the first index of BSE-Sofia based on the market capitalization of the included issues of common shares, adjusted with the free-float of each of them. The authors intend to use a model implying an Artificial Neural Network to predict the future price of the index. A neural network has the ability to extract useful information from large sets of data, which often is required for a satisfying description of a financial time series. Capital markets are known for their complexity and unpredictability and are best described as chaotic systems. Artificial Neural Networks can be used to find relationship in large sets of data which have some unknown relationship between input and output. Once that relationship is found, the neural network can be used to compute the output for similar (but usually different) input.

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Paper Citation


in Harvard Style

L. Shahpazov V., B. Velev V. and Doukovska L. (2013). Forecasting Price Movement of SOFIX Index on the Bulgarian Stock Exchange – Sofia using an Artificial Neural Network Model . In Proceedings of the Third International Symposium on Business Modeling and Software Design - Volume 1: BMSD, ISBN 978-989-8565-56-3, pages 298-302. DOI: 10.5220/0004776802980302


in Bibtex Style

@conference{bmsd13,
author={Veselin L. Shahpazov and Vladimir B. Velev and Lyubka A. Doukovska},
title={Forecasting Price Movement of SOFIX Index on the Bulgarian Stock Exchange – Sofia using an Artificial Neural Network Model},
booktitle={Proceedings of the Third International Symposium on Business Modeling and Software Design - Volume 1: BMSD,},
year={2013},
pages={298-302},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004776802980302},
isbn={978-989-8565-56-3},
}


in EndNote Style

TY - CONF
JO - Proceedings of the Third International Symposium on Business Modeling and Software Design - Volume 1: BMSD,
TI - Forecasting Price Movement of SOFIX Index on the Bulgarian Stock Exchange – Sofia using an Artificial Neural Network Model
SN - 978-989-8565-56-3
AU - L. Shahpazov V.
AU - B. Velev V.
AU - Doukovska L.
PY - 2013
SP - 298
EP - 302
DO - 10.5220/0004776802980302