Autoregression and artificial Neural Networks for Financial Market Forecast

In recent years the interest of the investors in efficient methods for the forecasting price trend of a share in financial markets has grown steadily. The aim is to accurately forecast the future behavior of the market in order to identificate the so-called "correct timing". In this paper we analyze three different approaches for forecasting financial data: Autoregression, artificial neural networks and support vector machines and we will determine potentials and limits of these methods. Application to the Italian financial market is also presented. ©ICS AS CR 2006