The management of prediction method in the system of investment decisions making

• Autorzy: Wiliński A. , Rejer I.
• Języki publikacji: EN

Abstrakty

EN

The aim of the paper is to find a method of using prediction rules in time series in such a way to maximize the profit considering the risk. To deal with this task, a regression approach to prediction was chosen. Hence, the paper refers to relation between autoregression of a chosen time series and investment strategies. The time series under consideration is the most important polish financial instrument, a future contract on WIG20. Usually, it is rather easy to prove statistically that the autoregression of a single time series cannot be considered as an effective method for forecasting WIG20 quotations for investment purpose. However, the authors find the relation between the autoregression (and also multi-regression) and real future values of WIG20 which can be the source of effective strategies. The paper presents both - the theoretical description of the proposed strategies and results of their application for monthly data of WIG20, unemployment rate and money supply in Poland (data from years 1995-2007).

Słowa kluczowe

EN

index WIG20; investment strategies; financial prediction; multi-regression; decision support system

PL

wskaźnik WIG20; strategia inwestycyjna; finanse; system wspomagania decyzji

• Wydawca: Production Engineering Committee of the Polish Academy of Sciences ; Polish Association for Production Management
• Czasopismo: Management and Production Engineering Review
• Rocznik: 2011
• Tom: Vol. 2, No. 2
• Strony: 46--52
• Opis fizyczny: Bibliogr. 16 poz., wykr.

Twórcy

autor

Wiliński A.

autor

Rejer I.

• West Pomeranian University of Technology of Szczecin, Faculty of Computer Science, Żołnierska 52, 71-210 Szczecin, Poland, phone: [phone],

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