Neural network forecasting in the securities market

Authors: Lobacheva E.N., Kuznetsova T.I., Kulchitskiy S.E. Published: 25.11.2020
Published in issue: #5(85)/2020  
DOI: 10.18698/2306-8477-2020-5-687  
Category: Economic and legal problems of engineering education | Chapter: Economics  
Keywords: forecasting, stock market, neural networks, artificial intelligence

The paper substantiates the applicability of an artificial neural network as a tool for determining securities prices, reveals the possibilities of using neural networks for forecasting the stock market, and proposes to use artificial neural networks for managing a portfolio of securities.

[1] Nikolenko S.I. Glubokoe obuchenie. Pogruzhenie v mir neironnykh setey [Deep learning. Immersion into the world of neural networks]. St. Petersburg, Peter Publ., 2018, 477 p.
[2] Kuznetsova T.I. RISK: Resursy. Informatsiya. Snabzhenie. Konkurentsiya — RISK: Resources, Information, Supply, Competition, 2015, no. 2, pp. 177–180.
[3] Lobacheva E.N., Kuznetsova T.I., Tselsov N.Yu. Gumanitarny vestnik — Humanities Bulletin of BMSTU, 2016, no. 2. http://dx.doi.org/10.18698/2306-8477-2016-02-340
[4] Kuznetsova T.I., Bulaev A.V. Gumanitarny vestnik — Humanities Bulletin of BMSTU, 2018, no. 11. http://dx.doi.org/10.18698/2306-8477-2018-11-566
[5] Hawley D.D., Johnson J.D., Raina D. Artifical Neural Systems: A New Tool for Financial Decision-Making. Financial Analysts Journal, 1990, no. 11–12, pp. 63–72.
[6] Altman E.I., Marko G., Varetto F. Corporate Distress Diagnosis: Comparisons Using Linear Discriminant Analysis and Neural Network (The Italian Experience). Journal of Banking and Finance, 1994, no. 5, pp. 505–529.
[7] Referanes A.P. Neural Networks in Capital Markets. New York, John Wiley & Sons, 2005, р. 250.