Warianty tytułu
Języki publikacji
Abstrakty
The paper presents the results of computer simulations performed using the historical quotes on several securities (WIG20, S&P500, Dow Jones, DAX, EUR/USD, gold, oil, etc.) in order to analyse the possibility of finding such variables, that can be explained in terms of the others better, than the rest. It is assumed, that the ultimate goal of every investment strategy is finding the opportunity of gaining a financial profit (always considering the risk). Such opportunity is being sought by investigating the possibility of using each variable (each security) in turn as the one to be predicted. In order to reach that goal, authors use several variants of one of the algorithms belonging to the. Group Method of Data Handling (GMDH), namely the combinatorial algorithm. The results reveal some interesting features of regression models, indicating the prospect of further applications of the method.
Słowa kluczowe
Czasopismo
Rocznik
Tom
Strony
159-174
Opis fizyczny
Bibliogr. 8 poz., rys., tab.
Twórcy
Bibliografia
- [1] Draper N.R., Smith H. Applied regression analysts. Wiley. New York 1981.
- [2] Ivakhnenko A.G., Zaicenko J.P., Dimitrov V.D. Priniatije resenij na osnove samooiyanizacji. Sovet.skoe Radio, Moskwa 1976
- [3] Madala II.R., Ivakhnenko A. G. Inductive Learning Algorithms for Complex Systems Modeling. CRC Press 1994
- [4] Lemke F., Mueller J.-A. Self-Organizing Data Mining for a Portfolio Trading System. Journal of Computational Intelligence in Finance, 1997
- [5] Jajuga K.. Kuziak K.. Markowski P. Jnwestycje finansowe. Wydawnictwo Akademii Ekonomicznej im. Oskara Langego we Wrocławiu. Wrocław 1998.
- [6] Weisstein, E. W. Moore-Penrose Matrix Inverse. Wolfram MathWorld |online] http://mathworld.wolfram.com/ Moore-PenroseMatrixInversc.html [dostęp:02/2008]
- [7] Greshilov A.A., Stakun V.A., Stakun A.A. Matematiceskije metody postroenija prognozov. Radio i sviaz. Moskva 1997.
- [8] Weisstein, E. W. Time Series Analysis. Wolfram MathWorld [online] http://mathxvorld.wolfram.com/ TimeSeriesAnalysis.html [dostęp: 02/2008]
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.baztech-article-BPS3-0010-0015