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Article

Повышение качества прогнозирования доходности финансовых инструментов на основе многофакторных моделей

Увайсов С. У., Журавлева Ю., Палий С. П.

The task of improving the quality of forecasting returns of financial instruments using multivariate mathematical models: regression models and neural networks was analyzed. To construct a multifactor model of returns used the assumption on the influence of market factors that have a different nature. A linear multivariable regression model was constructed using stepwise inclusion algorithm. The multilayer neural network trained using back-propagation algorithm. The quality of the neural prediction models forecast much higher quality, built with the help of a regression model.