About: Modelling and forecasting of WIG20 stock index

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We examine the ARIMA-ARCH type models for the volatility and forecasting models of Polish WIG20 stock indexes based on statistical (stochastic), machine learning methods and an intelligent methodology based on soft or granular computing and make comparisons with the class of RBF neural network and SVR models. To illustrate the forecasting performance of these approaches the learning aspects of RBF networks are presented. We show a new approach of function estimation for nonlinear time series model by means of a granular neural network based on Gaussian activation function modeled by cloud concept. In a comparative study is shown that the presented approach is able to model and predict high frequency data with reasonable accuracy and more efficient than statistical methods. We examine the ARIMA-ARCH type models for the volatility and forecasting models of Polish WIG20 stock indexes based on statistical (stochastic), machine learning methods and an intelligent methodology based on soft or granular computing and make comparisons with the class of RBF neural network and SVR models. To illustrate the forecasting performance of these approaches the learning aspects of RBF networks are presented. We show a new approach of function estimation for nonlinear time series model by means of a granular neural network based on Gaussian activation function modeled by cloud concept. In a comparative study is shown that the presented approach is able to model and predict high frequency data with reasonable accuracy and more efficient than statistical methods. (en)
Title	Modelling and forecasting of WIG20 stock index Modelling and forecasting of WIG20 stock index (en)
skos:prefLabel	Modelling and forecasting of WIG20 stock index Modelling and forecasting of WIG20 stock index (en)
skos:notation	RIV/61989100:27510/14:86091222!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(7AMB14PL029)
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Marček, Dušan
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	29867
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86091222
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	forecast accuracy granular computing.; cloud concept; neural networks; forecasting; volatility; classes ARCH-GARCH models; Time series (en)
http://linked.open.../riv/klicoveSlovo	cloud concept forecast accuracy granular computing. Time series neural networks volatility forecasting classes ARCH-GARCH models
http://linked.open...ontrolniKodProRIV	[BA57552738A2]
http://linked.open...v/mistoKonaniAkce	Ostrava
http://linked.open...i/riv/mistoVydani	Ostrava
http://linked.open...i/riv/nazevZdroje	Informační technologie pro praxi 2014 : VŠB-TUO, Faculty of Economics, 9th-10th October 2014
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	Multiagent approach in designing enterprise systems
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Marček, Dušan
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2014-10-09 (xsd:date)
number of pages	11 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn	978-80-248-3555-6
http://localhost/t...ganizacniJednotka	27510

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