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2 2011

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Zastosowanie sieci neuronowych do wyceny kontraktów opcyjnych na indeks WIG20

Kraszewska M.

Pomiary Automatyka Robotyka

2011

R. 15, nr 12

220-222

W artykule zaprezentowano możliwość zaadoptowania sztucznych sieci neuronowych do wyceny kontraktów opcyjnych na indeks WIG20 Giełdy Papierów Wartościowych w Warszawie. Analizując dane rzeczywiste z lat 2005-2009 zbudowano szereg modeli sieci neuronowych z wykorzystaniem programu Statistica. Uzyskane rezultaty porównano z wynikami otrzymanymi z modelu Blacka-Scholesa. Do pomiaru dokładności prognoz modeli użyto powszechnie znane miary błędów.

The possibility of adopting artificial neural networks to the valuation of option contracts on WIG20 Warsaw Stock Exchange is presented. Using real data from 2005-2009 several models of neural networks were examined in Statistica. The results were compared with results received using the Black-Scholes formula. To measure the accuracy of forecasting models commonly known measurement errors were used.

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

Wiliński A., Rejer I.

Management and Production Engineering Review

2011

Vol. 2, No. 2

46-52

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).