|
|
|
Novicova M.A., Yanchushka Z.I. METHOD OF THE SECURITIES PORTFOLIO FORMATION BY MEANS OF ARTIFICIAL NEURAL NETWORKS COMMITTEES AND WAVELET TRANSFORMATION THEORYThis article is devoted to the analysis of the theoretical aspects of the artificial neural networks committees usage for securities portfolio formation and short-term forecasting of the securities market dynamics, assuming the conditions of the fractal market hypothesis.Key words: investment portfolio, committees of neural networks, wavelet transform, fractal market.
References:
1. Ezhov A.A., Shumsky S.A. Neyrokompyutering and its application in economics and business. — M.: Publishing House of Moscow Engineering Physics Institute, 1998. — 222 p.
2. Couver C., Couver P. Neural network and statistics: a naive comparison // Beigian journal of operation research and computer sciences. — 2007. — №4. — P. 36.
3. Haykin, S. Neural Networks — A Comprehensive Foundation. second edition: Per. from English. — M.: Publishing house Williams, 2006. — 1104 p.
4. Terekhov, S. Brilliant committees intelligent machines // Lectures on neuroinformatics. Part 2, All-Russian Scientific Conference Neuroinformatics — 2007. — Moscow Engineering Physics Institute, 2007. — P.11–42.
5. Novikova M.A., Yanchushka Z.I., Bahtizin R.N. Russian oil and gas issuers stocks optimal portfolio formation with use of cluster analysis and neural networks // Oil And Gas Business. Scientific and Technical Journal. — 2011. — V.9. — №1. — P. 125–130.
6. Smolentsev, N.K. Foundations of the theory of wavelets. Wavelets in Matlab. — Moscow: DMK Press, 2008. — 448 p.
About this article
Authors: Novikova M.A., Yanchushka Z.I.
Year: 2012
|
|
Editor-in-chief |
Sergey Aleksandrovich MIROSHNIKOV |
|
|