PL EN


2009 | 10 | 1 | 252-264
Article title

BADANIA EFEKTYWNOŚCI PREDYKCYJNEJ MODELU KLASY GMDH OPARTEGO NA ZACHOWANIU UCZESTNIKÓW RYNKU WALUTOWEGO

Content
Title variants
EN
PREDICTION EFFICIENCY INVESTIGATION OF GMDH-CLASS MODEL BASED ON BEHAVIOURING OF CURRENCY MARKET USERS
Languages of publication
PL EN
Abstracts
PL
W pracy przedstawiono wyniki eksperymentu przeprowadzonego w celu predykcyjnym na rynku walutowym. Założono, że rynek nie jest efektywny i daje się z przeszłości wyekstrahować wiedzę o błędach popełnionych przez uczestników wybranej platformy brokerskiej. Dla wykonania predykcji wykorzystano zmodyfikowaną metodę GMDH (Group Method of Data Handling) umożliwiającą sukcesywny wybór nieliniowego modelu wielomianowego najlepiej w danym kroku opisującego rynek. Przedstawiono interesujące wyniki eksperymentu na danych historycznych potwierdzającego użyteczność metody. Danymi wejściowymi były zarejestrowane na platformie zachowania inwestorów – rozkład otwartych pozycji i złożonych zleceń. Stąd – rozpatrywane podejście można zaliczyć do modelowania behawioralnego.
EN
The paper presents the results of an experiment concerning prediction of the foreign exchange market. It was assumed, that the market is not efficient and that it is possible to extract from the past the knowledge regarding traders’ mistakes. A modified version of GMDH method was used for prediction, which allows for successive selection of such nonlinear polynomial model, that describes the market most adequately at a particular moment. Presented results confirm usefulness of the proposed method. Input data was comprised of the information on traders behaviour, registered by the brokerage platform, regarding open positions and orders. Hence, such a solution can be thought of as behavioural modelling.
Contributors
  • Wydział Informatyki, ZUT
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-57cc9541-5b9b-46b9-8384-d205a046bd69
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