«Дайджест-Финансы»
 

Application of the Committee Machine Method to Forecast the Movement of Exchange Rates and Oil Prices

Журнал «Дайджест-Финансы»
т. 23, вып. 1, март 2018

Получена: 30.10.2017

Получена в доработанном виде: 13.11.2017

Одобрена: 27.11.2017

Доступна онлайн: 30.03.2018

Рубрика: FINANCIAL THEORY

Коды JEL: C38, C53, C65, G17

Страницы: 108–120

https://doi.org/10.24891/df.23.1.108

Akberdina V.V. Institute of Economics of Ural Branch of Russian Academy of Sciences, Yekaterinburg, Russian Federation 
akb_vic@mail.ru

ORCID id: отсутствует
SPIN-код: отсутствует

Chernavin N.P. Institute of Economics of Ural Branch of Russian Academy of Sciences, Yekaterinburg, Russian Federation 
ch_k@mail.ru

ORCID id: отсутствует
SPIN-код: отсутствует

Chernavin F.P. Institute of Economics of Ural Branch of Russian Academy of Sciences, Yekaterinburg, Russian Federation 
chernavin_fedor@mail.ru

ORCID id: отсутствует
SPIN-код: отсутствует

Importance This article discusses the forecasting of financial asset prices considering the most liquid and known financial assets of currency and commodity markets, such as currency pairs of USD/RUB, EUR/RUB, CAD/USD and the Brent crude oil.
Objectives The paper aims to show that in financial markets, a great number of traders and analysts are shaping the demand for new interesting analytical tools, develop a methodology for establishing committee machine designs and principles of their use in financial markets, and show real practical results of the committee machine method use.
Methods To forecast the price of financial assets, we used a committee machine method based on majority voting. Data from the Moscow Exchange (MOEX) and FOREX market are used as a source of information on market prices.
Results The paper shows the conditions for the applicability of the decision rules received in real trade. For illustration purposes, the decisions given in the article are analyzed by income from January 7, 2010 to May 23, 2017.
Conclusions and Relevance The paper concludes that the committee machine method is applicable as a tool for forecasting real time financial asset prices.

Ключевые слова: committee machine method, data analysis, financial market, currency rate, oil

Список литературы:

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т. 23, вып. 1, март 2018

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