Abstract
In this article, the problem of the day-of-the-week effect is investigated for small emerging stock market (Vilnius Stock Exchange), where this effect is vaguely expressed and its presence is difficult to confirm. The research results helped to conclude the effectiveness of application of neural networks, as compared to the traditional linear statistical methods for identifying differences of Monday and Friday stock trading anomalies. The effectiveness of the method was confirmed by exploring impact of different variables to the day-of-the-week effect, evaluation of their influence and sensitivity analysis, and by selecting best performing neural network type.
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Sakalauskas, V., Kriksciuniene, D. (2009). Application of Neural Networks for Investigating Day-of-the-Week Effect in Stock Market. In: Koutsojannis, C., Sirmakessis, S. (eds) Tools and Applications with Artificial Intelligence. Studies in Computational Intelligence, vol 166. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-88069-1_7
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DOI: https://doi.org/10.1007/978-3-540-88069-1_7
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