| Abstract [eng] |
The main aim of this work is to analyze a strategy based on the neural networks, Markovian strategies and kernel method, also to create more complex neural network and apply it all for the data of foreign exchange market. Euro and U.S dollar currency pair price was analyzed during the 1 November 2011 - 15 May 2012 period. The closing price of the hourly period was analyzed. The analysis revealed that the best forecasting accuracy shows neural network strategy, followed by the kernel method and end up with Markovian strategy. The results of created more complex neural network are not very good. The analysis of the joint methods revealed that the best accuracy obtained by combining all three methods. But it generates smaller capital than others. It happens, because bets are made only in the third of rounds, and in all other cases there is refusal to make decision. The methods are worth of attention, and which one to choice depends on the person, because bigger capital leads to higher risk. |
