Application of neural networks in investments: A case of BELEX15 stock index

Abstract

The time series represent a line of observations of unintentional variable in different time periods. The aim of the time series is, on the basis of those observations, to forecast the values of the variable. Further reactions should be predicted on the basis of the data from the past. The research covers the sample representing the Serbian (BELEX15) stock index. The aim of this study is the survey of the algorithm for predicting the reaction of the problem of this type by using the neural networks in function of prediction of the daily stock index values in the emerging market of the Republic of Serbia. The proposal of the algorithm is implemented by software and the results are significant both to academics and professionals in the subject area, especially having in mind the possibility of prediction in investments.