Momentum Effect on the Mexican Stock Exchange

Cervantes, Mauricio; Montoya, Miguel Á.; Cueto, Diego C.

doi:10.2139/ssrn.2392467

Cited by 1 publication

(2 citation statements)

References 12 publications

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“…The Exchange is home to some of the most recognizable and profitable global corporations, including: beverage giant Modelo Group, whose brands include Corona Extra and Pacifico; America Mobil, one of the largest telecommunications companies in the world; CEMEX, the world's biggest building materials supplier; and Televisa, the largest media company in the Spanishspeaking world, among many others [3]. In addition, MexDer (the Mexican Derivatives Exchange) is also part of MSE Group and is the leading marketplace for trading benchmark Mexican derivatives products.…”

Section: Mexican Stock Exchange Time Seriesmentioning

confidence: 99%

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Optimization of the Interval Type-2 Fuzzy Integrators in Ensembles of ANFIS Models for Time Series Prediction: Case of the Mexican Stock Exchange

Soto

Melín

2015

Design of Intelligent Systems Based on Fuzzy Logic, Neural Networks and Nature-Inspired Optimization

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This paper describes the optimization of the fuzzy integrators in Ensembles of ANFIS model for time series prediction: case of the Mexican Stock Exchange. The Mexican stock exchange that is used corresponds to the period of 11/09/2005 to 01/15/2009 to simulate the performance of the proposed architecture. We used interval type-2 fuzzy systems to integrate the outputs (forecast) of each of the ANFIS models in the Ensemble. Genetic Algorithms (GAs) are used for the optimization of memberships function "MFs" for the 2 MFs (used linguistic labels "Small and Large") and for the 3 MFs (used linguistic labels "Small, Middle and Large") parameters of the fuzzy integrators. In the experiments the genetic algorithms optimized the Gaussian, Generalized Bell and Triangular membership functions for each of the fuzzy integrators; in the interval type-2 fuzzy integrator there are more parameters, thereby increasing the complexity of the training for the fuzzy integrators. Simulation results show the effectiveness of the proposed approach in comparison with other researchers.

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Section: Mexican Stock Exchange Time Seriesmentioning

confidence: 99%

“…Senior exchange leadership, including Luis Tellez, President and CEO of MSE Group, hosted an event, "Connect and Trade Mexico," in New York City to discuss the recent improvements and the benefits for U.S. Institutional investors, including brokers, hedge funds, high frequency traders and other professional market participants [3].…”

Section: Introductionmentioning

confidence: 99%

Optimization of the Interval Type-2 Fuzzy Integrators in Ensembles of ANFIS Models for Time Series Prediction: Case of the Mexican Stock Exchange

Soto

Melín

2015

Design of Intelligent Systems Based on Fuzzy Logic, Neural Networks and Nature-Inspired Optimization

View full text Add to dashboard Cite

show abstract

Momentum Effect on the Mexican Stock Exchange

Cited by 1 publication

References 12 publications

Optimization of the Interval Type-2 Fuzzy Integrators in Ensembles of ANFIS Models for Time Series Prediction: Case of the Mexican Stock Exchange

Optimization of the Interval Type-2 Fuzzy Integrators in Ensembles of ANFIS Models for Time Series Prediction: Case of the Mexican Stock Exchange

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