Simple Adaptive Filter as a Part of Information System for Market Data Analysis

• Autorzy: Janowicz Maciej , Kietlińska Krystyna , Zembrzuski Andrzej
• 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

• Wydawca: Katedra Informatyki Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Czasopismo: Information Systems in Management
• Rocznik: 2014
• Tom: 3
• Numer: 4
• Strony: 221-228

Daty

wydano

2014

Twórcy

autor

Janowicz Maciej

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

autor

Kietlińska Krystyna

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

autor

Zembrzuski Andrzej

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

Bibliografia

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Identyfikatory

ISSN

2084-5537