Comparing artificial neural networks with statistical methods within the field of stock market prediction

Within the field of stock market prediction, a controversial discussion between technicians and fundamentalists concerning the qualification of the artificial neural network and statistical methods has taken place. On the one hand, experts use so-called charts to extract those formations they regard to be significant for the future development of stock prices. On the other hand, the fundamentalists have to decide which information, even regarding other influences, they take into consideration. Therefore, it is intended to link both perspectives. ARIMA-models and artificial neural networks are two problem-solving approaches that are investigated in this paper. The authors´ intention for both approaches is a short-term prediction (the following day´s stock price)