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    ARTICLE

    An Endogenous Feedback and Entropy Analysis in Machine Learning Model for Stock’s Return Forecast

    Edson Vinicius Pontes Bastos1,*, Jorge Junio Moreira Antunes2, Lino Guimarães Marujo1, Peter Fernandes Wanke2, Roberto Ivo da Rocha Lima Filho1

    Intelligent Automation & Soft Computing, Vol.36, No.3, pp. 3175-3190, 2023, DOI:10.32604/iasc.2023.034582

    Abstract Stock markets exhibit Brownian movement with random, non-linear, uncertain, evolutionary, non-parametric, nebulous, chaotic characteristics and dynamism with a high degree of complexity. Developing an algorithm to predict returns for decision-making is a challenging goal. In addition, the choice of variables that will serve as input to the model represents a non-triviality, since it is possible to observe endogeneity problems between the predictor and the predicted variables. Thus, the goal is to analyze the endogenous origin of the stock return prediction model based on technical indicators. For this, we structure a feed-forward neural network. We evaluate the endogenous feedback between the… More >

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