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Prediction Models of Financial Markets Based on Multiregression Algorithms
Authors: Antoni Wiliński
Keywords: multivariate regression, simple rules, investigation strategy, prediction, trading systems, algotrading
– 0.19 Mb
Keywords: multivariate regression, simple rules, investigation strategy, prediction, trading systems, algotrading
Abstract
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.West Pomeranian University of Technology of Szczecin,
Faculty of Computer Science and Information Technology
ul. Żonierska 52, 71-210 Szczecin, Poland
Phone: (+4891) 449-56-60
E-mail:
Faculty of Computer Science and Information Technology
ul. Żonierska 52, 71-210 Szczecin, Poland
Phone: (+4891) 449-56-60
E-mail:
Fulltext
– 0.19 Mb
Contents
- Preface
- Constantin Gaindric (in honour of his 70th birthday)
- Designing and Building Modern Information Systems; A Series of Decisions to Be Made
- Romanian Linguistic Resources On Very Large Scale
- Natural Language Question Answering in Open Domains
- Analysis and Modeling of Vapor Recompressive Distillation Using ASPEN-HYSYS
- Prediction Models of Financial Markets Based on Multiregression Algorithms
- A New Foundation For Knowledge Systems
- Some Aspects of Mathematical and Physical Approaches for Topological Quantum Computation
- Tool Means of Organization and Support of Electronic Services to the Population
