2007/08/28 by Sabatino Costanzo, Loren Trigo, Costanzo, Sabatino +5
Computer Science · Economics, Econometrics and Finance · Engineering · #Advanced Control Systems Optimization #Computational Engineering #FOS: Computer and information sciences #Fault Detection and Control Systems #Finance #Market Dynamics and Volatility #Neural and Evolutionary Computing (cs.NE) #and Science (cs.CE) #cs.CE #cs.NE
paper · pdf · doi:10.48550/arxiv.0708.3829
17 pages, in Spanish
arxiv created 2007/08/28 · openalex publication_date 2007/08/28 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
A neural net model for forecasting the prices of Venezuelan crude oil is proposed. The inputs of the neural net are selected by reference to a dynamic system model of oil prices by Mashayekhi (1995, 2001) and its performance is evaluated using two criteria: the Excess Profitability test by Anatoliev and Gerko (2005) and the characteristics of the equity curve generated by a trading strategy based on the neural net predictions. ----- Se introduce aqui un modelo no parametrico para pronosticar los precios del petroleo Venezolano cuyos insumos son seleccionados en base a un sistema dinamico que explica los precios en terminos de dichos insumos. Se describe el proceso de recoleccion y pre-procesamiento de datos y la corrida de la red y se evaluan sus pronosticos a traves de un test estadistico de predictibilidad y de las caracteristicas del Equity Curve inducido por la estrategia de compraventa bursatil generada por dichos pronosticos.