About: Some statistical models vs. models based on SC for high frequency financial time series applied to bonds of commercial banks

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About: Some statistical models vs. models based on SC for high frequency financial time series applied to bonds of commercial banks Goto Sponge NotDistinct Permalink

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In neural networks modeling approach, a non-linear model is estimated based on machine learning methods. The study discusses, analytically and numerically demonstrates the quality and interpretability of the obtained prediction accuracy results from prediction models based on advanced statistical methods and models based on neural networks (intelligent methods). Both proposed approaches are applied to the financial time series of s of VUB bond prices. We found that it is possible to achieve significant risk reduction in managerial decision-making by applying intelligent forecasting models based on the latest information technologies. In a comparative study is shown, that both presented modeling approaches are able to model and predict high frequency data with reasonable accuracy, but the neural network approach is more effective. In neural networks modeling approach, a non-linear model is estimated based on machine learning methods. The study discusses, analytically and numerically demonstrates the quality and interpretability of the obtained prediction accuracy results from prediction models based on advanced statistical methods and models based on neural networks (intelligent methods). Both proposed approaches are applied to the financial time series of s of VUB bond prices. We found that it is possible to achieve significant risk reduction in managerial decision-making by applying intelligent forecasting models based on the latest information technologies. In a comparative study is shown, that both presented modeling approaches are able to model and predict high frequency data with reasonable accuracy, but the neural network approach is more effective. (en)
Title	Some statistical models vs. models based on SC for high frequency financial time series applied to bonds of commercial banks Some statistical models vs. models based on SC for high frequency financial time series applied to bonds of commercial banks (en)
skos:prefLabel	Some statistical models vs. models based on SC for high frequency financial time series applied to bonds of commercial banks Some statistical models vs. models based on SC for high frequency financial time series applied to bonds of commercial banks (en)
skos:notation	RIV/47813059:19240/14:#0005348!RIV15-MSM-19240___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070)
http://linked.open...iv/cisloPeriodika	neuvedeno
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Marček, Dušan
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Slezská univerzita v Opavě / Filozoficko-přírodovědecká fakulta
http://linked.open...dnocenehoVysledku	45997
http://linked.open...ai/riv/idVysledku	RIV/47813059:19240/14:#0005348
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	ARIMA-ARCH/GARCH models; Forecast accuracy; G RBF neural networks; Soft computing; Time series (en)
http://linked.open.../riv/klicoveSlovo	Soft computing Time series ARIMA-ARCH/GARCH models Forecast accuracy G RBF neural networks
http://linked.open...odStatuVydavatele	CH - Švýcarská konfederace
http://linked.open...ontrolniKodProRIV	[0CDD243BEE4C]
http://linked.open...i/riv/nazevZdroje	Advanced Material Research
http://linked.open...in/vavai/riv/obor	IN
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Marček, Dušan
issn	1022-6680
number of pages	6 (xsd:int)
http://localhost/t...ganizacniJednotka	19240

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