We propose the use of a Neural Network NN methodology for evaluating models of time series that exhibit nonlinear mean reversion, such as those stemming from equilibrium relationships that are affected by transaction costs or institutional rigidities. Given the vast array of such models found in the literature, the proposed NN procedure represents a useful graphical tool, providing the researcher with the ability to visualize the data before choosing the most appropriate approach for modeling mean-reversion dynamics with either a Threshold Autoregression TAR , a Smooth Transition Autoregression STAR , or any hybrid model.

Our case study is involved with understanding the nature of cross-listed stocks ADRs and the degree of market integration and efficiency, as captured by the NN methodology.

This is done through an analysis of the intradaily price discrepancies of cross-listed French, Mexican and American stocks. The results of the NN methodology are relevant in describing the arbitrage forces that maintain the Law of One Price in these ADR markets, and thus provide a more explicit insight on how these markets are integrated.

The use of Neural Networks for modeling nonlinear mean reversion: Measuring efficiency and integration in ADR markets E. Dante Suarez , Farzan Aminian , Mehran Aminian IEEE Conference on Computational…. Showing of 45 references. Nonlinear mean reversion in the G7 stock markets. A Neural Network Method for Obtaining an Early Warning of Insurer Insolvency Patrick L.

Do U.S. Stock Prices Exhibit Mean Reversion? Evidence from Recent Nonlinear Unit Root Tests | John Wingender - icoqerum.web.fc2.com

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Nonlinear mean reversion in stock prices

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The Benefits of Modeling Economic Data with Neural Networks. A flexible coefficient smooth transition time series model Marcelo C.

Nonlinear mean reversion in oil and stock markets: Review of Accounting and Finance: Vol 10, No 3

Medeiros , Alvaro Veiga IEEE Transactions on Neural Networks Arbitrage Opportunities in the Depositary Receipt Market: Urban Myth or Reality? Journal of International Financial Markets…. Long-run money demand revisited: The Allen Institute for Artificial Intelligence Proudly built by AI2 with the help of our Collaborators using these Sources.