Abstract-Time series forecasting have been a subject of interest in several different areas of research such as: meteorology, demography, health, computer and finance. Since it can be applied to various practical problems in real world, techniques to predict time series have been a topic of increasing research activities, especially in the financial sector that has a great interest in the forecast of the stock market. In this article, we are interested in the forecast of the time series related to the Brazilian oil company, Petrobras (PETR4). A methodology based on information obtained from exogenous series was used in combination with a neural network to predict the PETR4 stock series. Exogenous series were selected by analyzing the correlation between the series with the Petrobras stocks series. In this way, the prediction was obtained by not just using the previous values of the series but also by using information external to the PETR4 series. The values of the selected series were used as features for a prediction stage based on combined neural networks. To evaluate the performance of the system classical measurements were used, however we also introduce a new performance index called Sum of the Losses and Gains (SLG).

Time series forecasting is useful in many researches areas. The use of models that provide a reliable prediction in financial time series may bring valuable profits for the investors. This paper proposes a methodology based on information obtained from exogenous series used in combination with neural networks to predict stock series. The best trained neural networks were used in combination to improve the prediction capacity of a single networks. To evaluate the proposed prediction models, some known metrics were applied. Moreover, we also proposed one new metric called Prediction in Direction and Accuracy (PDA), which benefits models with great performance in prediction accuracy and trend. Addictionally, there was used an evolutionary algorithm to choose the best trained models that maximize PDA. Experiments with two of the most important Brazilian companies stock quotes have shown the usefulness of the proposed prediction system to generate profits in investments.