The Arbitrage Pricing Theory and the Capital Asset Pricing Models and Artificial Neural Networks Modeling with Particle Swarm Optimization (PSO)

19 Pages Posted: 2 Mar 2009

See all articles by Eleftherios Giovanis

Eleftherios Giovanis

Manchester Metropolitan University-Department of Economics, Policy and International Business; Nazilli Faculty of Economics and Administrative Sciences

Date Written: March 1, 2009

Abstract

We examine two stocks of Athens Exchange Stock Market, that of 'Coca-Cola' and 'Compucon'. We analyze the arbitrage pricing theory (APT) model and the Capital Asset Pricing Model (CAPM) and we compare the performance between them. Then we develop a neural network model in Synapse Software with the particle swarm optimization algorithm and show the flexibility of hybrid models and the Synapse software, as the superiority in forecasting performance, in relation to the traditional econometric methodology , like Ordinary least square and ARCH-GARCH estimations.

Keywords: Capital asset pricing model, Arbitrage pricing theory, ARCH, principal components, neural networks, particle swarm optimization algorithm

JEL Classification: C15, C45, C53, F47, G12

Suggested Citation

Giovanis, Eleftherios, The Arbitrage Pricing Theory and the Capital Asset Pricing Models and Artificial Neural Networks Modeling with Particle Swarm Optimization (PSO) (March 1, 2009). Available at SSRN: https://ssrn.com/abstract=1351249 or http://dx.doi.org/10.2139/ssrn.1351249

Eleftherios Giovanis (Contact Author)

Manchester Metropolitan University-Department of Economics, Policy and International Business ( email )

Business School
All Saints Campus
Manchester, M15 6BH
United Kingdom

Nazilli Faculty of Economics and Administrative Sciences ( email )

Nazilli IIBF
Sumer Kampusu
Aydin, Nazilli 09800
Turkey

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