Using trading system consolidated models in stock exchange price forecasting
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Date
2019-06
Journal Title
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Publisher
Springer Nature Switzerland AG
Abstract
For successful trading on stock exchanges, it is important to use
trading tools that will ensure success in trading operations and provide competitive advantages. The purpose of the article is to develop an algorithm for the
creation of a trading system and selecting a research object whose shares may
subsequently become the object of real trade. The basis of the developed trading
system is the consolidated mathematical model based on several models (multipliers, neural network and discounted cash flows). Two forecasting models
were created. The first consolidated model estimates share prices with lower
deviation from the actual prices than the prices predicted by other mathematical
models. For the second consolidated model, TakeProfit at the forecasted level
was set. It allows closing the position as soon as a targeted price is reached. The
results of the work identified directions for improving trading algorithms by use
of the elements of fundamental analysis, namely, by forecasting the impact of
macroeconomic factors and an evaluation of market indices.
Description
Keywords
Stock exchange, Trading system, Forecast, Consolidated mathematical model
Citation
Pankratova L. Using trading system consolidated models in stock exchange price forecasting / Liubov Pankratova, Tetiana Paientko, Yaroslav Lysenko // Information and Communication Technologies in Education, Research, and Industrial Applications : 15th International Conference, Kherson, Ukraine, June 12–15, 2019 / [ed. board: V. Ermolayev (ed.) et al.]. – Switzerland, 2020. – Vol. I: Main Conference. – P. 364–391.