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|Теория вероятностей и математическая статистика (74)|
| SM ISO690:2012|
WILINSKI, Antoni. Prediction Models of Financial Markets Based on Multiregression Algorithms. In: Computer Science Journal of Moldova, 2011, nr. 2(56), pp. 178-188. ISSN 1561-4042.
|Computer Science Journal of Moldova|
|Numărul 2(56) / 2011 / ISSN 1561-4042|
The paper presents the results of simulations performed for
predictive goals for the main Polish index named WIG20, using
the historical quotes on several connected financial time series.
The data (monthly and daily tested) used to predict WIG20 are
such series as economical supply of money, level of unemployment, inflation and lagged series of the main index. In order to
reach prediction goal, the author's algorithms were used. These
algorithms are the hybrid of two methods - simple rules and
multiregression prediction. The results reveal some interesting
features of regression models, indicating the prospect of further
applications of the method, especially in Internet area. The main
hypothesis is that markets have a short term memory which allows to create different strategies.
multivariate regression, simple rules, investigation strategy, prediction, trading systems