Wyniki wyszukiwania - BazTech

Ograniczanie wyników

1 Management and Production Engineering Review

1 2011

Powiadomienia systemowe

Sesja wygasła!

Znaleziono wyników: 1

Liczba wyników na stronie

Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: wskaźnik WIG20

Sortuj według:

Ogranicz wyniki do:

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).