Simple adaptive filter as a part of information system for market data analysis

• Autorzy: Janowicz M. , Kietlińska K. , Zembrzuski A.
• Języki publikacji: EN

Abstrakty

EN

Application of the simple least mean squares (LMS) adaptive filter of to the Warsaw Exchange Market (GPW) has been analyzed using stocks belonging to WIG20 group as examples. LMS filter has been used as a binary classifier, that is, to forecast the sign of changes in the (normalized) stock values. Two kinds of data has been used, namely, the differenced and double differenced normalized close values of stocks. It has been shown that while the predictive power of LMS filter is virtually zero for the differenced series, it rises significantly in the case of double-differenced series for all analyzed stocks. We attribute this to the better stationarity properties of the double differenced time series.

Słowa kluczowe

EN

Warsaw Exchange Markets; adaptive filters; stationary time series

PL

Giełda Papierów Wartościowych; filtry adaptacyjne; stacjonarne szeregi czasowe

• Wydawca: Wydawnictwo Szkoły Głównej Gospodarstwa Wiejskiego w Warszawie
• Czasopismo: Information Systems in Management
• Rocznik: 2014
• Tom: Vol. 3, No. 4
• Strony: 221--228
• Opis fizyczny: Bibliogr. 9 poz., tab., wykr.

Twórcy

autor

Janowicz M.

• Department of Computer Science, Faculty of Applied Informatics and Mathematics, Warsaw Univesity of Life Sciences - SGGW

autor

Kietlińska K.

• Department of Computer Science, Faculty of Applied Informatics and Mathematics, Warsaw Univesity of Life Sciences - SGGW

autor

Zembrzuski A.

• Department of Computer Science, Faculty of Applied Informatics and Mathematics, Warsaw Univesity of Life Sciences - SGGW

Bibliografia

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• [4] Hannan E.J. (1970), Multiple Time Series, Wiley, New York.
• [5] Haykin S., Adaptive Filter Theory, Prentice Hall, 2002.
• [6] Kalman, R. E. (1960), A New Approach to Linear Filtering and Prediction Problems, Journal of Basic Engineering 82 (1), 35–45.
• [7] Kolmogorov A.N, Stationary sequences in Hilbert space, (In Russian) Bull. Moscow Univ. 1941 vol. 2 no. 6, 1–40.
• [8] Wiener N., The interpolation, extrapolation and smoothing of stationary time series, Report of the Services 19, Research Project DIC-6037 MIT, February 1942.
• [9] Widrow B. and Stearns S.D. (1985), Adaptive Signal Processing, Prentice Hall, New York.