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Research Centre
Data - Algorithms - Decision Making
Data - Algorithms - Decision Making
Established in 2005 under support of MŠMT ČR (project 1M0572)
Publications
Transformation of data in the framework of dynamic decision making
Typ:
Research report
Authors:
Chudoba M., Jirsa L.
Name of edition:
Research Report
Article number:
2226
Publisher:
ÚTIA AV ČR
Serie:
Praha
Year:
2008
Keywords:
Bayesian estimation, finance, transformation of data, hypoth
Anotation:
In the presented work we are introduced to the problem of optimal decision making while dealing on the exchange with so-called "financial futures", i.e. time financial transaction. This task is transferred into the simplified mathematical model, which is solvable using Bayesian estimation methods. Financial data are modelled by auto-regressive model with normal noise, because the tools, which are exploited for prediction of the price on the market and which assume normal noise, have been already developed. The main goal of this work is the comparison of the efficiency of various transformations on input data, so that their noise had normal distribution, therefore the price prediction was as accurate as possible. The applicable algorithm is programmed in Matlab; the presentation of achieved results forms the final part of this thesis.