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

• Autorzy: Maciej Janowicz , Krystyna Kietlińska , Andrzej Zembrzuski
• 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. (original abstract)

Słowa kluczowe

PL

Giełda papierów wartościowych; Analiza danych; Szeregi czasowe; System informacji rynkowej

EN

Stock market; Data analysis; Time-series; Market information system

• Czasopismo: Information Systems in Management
• Rocznik: 2014
• Tom: 3
• Numer: nr 4
• Strony: 221-228

Twórcy

autor

Maciej Janowicz

• Warsaw University of Life Sciences - SGGW, Poland

autor

Krystyna Kietlińska

• Warsaw University of Life Sciences - SGGW, Poland

autor

Andrzej Zembrzuski

• Warsaw University of Life Sciences - SGGW, Poland

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