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Prognozowanie indeksu WIG20 za pomocą sieci neuronowych NARX i metody SVM

Author

Listed:
  • Sylwia Radomska

    (Uniwersytet Warszawski, Wydział Zarządzania; FAME|GRAPE)

Abstract

elem artykułu jest porównanie błędu prognoz indeksu WIG20 uzyskanych za pomocą tradycyjnej metody statystycznej oraz metod uczenia maszynowego: metody wektorów nośnych i metamodelu opartego na sieciach neuronowych NARX. Przeprowadzona analiza wskazuje, że metoda SVM pozwoliła na uzyskanie prognoz o największej precyzji (najniższych wartościach błędów ex post). Obie metody uczenia maszynowego cechowały się istotnie większą dokładnością prognoz w porównaniu z zastosowaną metodą statystyczną w okresie styczeń 2017 – marzec 2018 r. Tradycyjne modele statystyczne wymagają szeregu założeń dotyczących zależności pomiędzy zmiennymi, szeroko krytykowanych w literaturze za arbitralność. Charakterystyka modeli uczenia maszynowego z jednej strony podkreśla ich zdolność do wykrywania złożonych i nieliniowych zależności w danych historycznych, ale z drugiej strony wskazuje na ich inne ograniczenia metodologiczne.

Suggested Citation

  • Sylwia Radomska, 2021. "Prognozowanie indeksu WIG20 za pomocą sieci neuronowych NARX i metody SVM," Bank i Kredyt, Narodowy Bank Polski, vol. 52(5), pages 457-472.
    • Handle: RePEc:nbp:nbpbik:v:52:y:2021:i:5:p:457-472
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    prognozowanie; WIG20; sieci neuronowe (NARX); metoda wektorów nośnych (SVM); efektywność rynku;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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