ARN did not
modify the forecasting results of the experience. The AES method
did not contribute to predict the correct sign of the return, in spite
that both methods, ARN and AES, produced almost the same RMSE
in the prediction of the return values. Since the profitable strategies
are related with the predictable character of the market movement
our study shows the possibility to develop support decision
systems for the Brazilian market based into the predictive possibilities
of the neural networks.