Affiliation:
1. School of Business and Management Federal University of Uberlândia (UFU) Uberlândia MG 38400–902 Brazil
2. Mathematics Department, Institute of Biosciences, Humanities and Exact Sciences São Paulo State University (UNESP) São José do Rio Preto SP 15054–000 Brazil
3. Department of Statistics University of Brasilia (UnB), Campus Darcy Ribeiro Brasília DF 70910‐900 Brazil
Abstract
AbstractResearchers and practitioners globally, from a range of perspectives, acknowledge the difficulty in determining the value of a financial asset. This subject is of utmost importance due to the numerous participants involved and its impact on enhancing market structure, function, and efficiency. This paper conducts a comprehensive review of the academic literature to provide insights into the reasoning behind certain conventions adopted in financial value estimation, including the implementation of preprocessing techniques, the selection of relevant inputs, and the assessment of the performance of computational models in predicting asset prices over time. Our analysis, based on 109 studies sourced from 10 databases, reveals that daily forecasts have achieved average error rates of less than 1.5%, while monthly data only attain this level in optimal circumstances. We also discuss the utilization of tools and the integration of hybrid models. Finally, we highlight compelling gaps in the literature that provide avenues for further research.
Funder
Conselho Nacional de Desenvolvimento Científico e Tecnológico
Fundação de Amparo à Pesquisa do Estado de São Paulo
Subject
Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation,Economics and Econometrics