Evaluation of the portfolio performance indicators, using Evolino RNN trading model

Maknickienė, Nijolė

Use this URL to cite this publication: https://hdl.handle.net/20.500.14911/137936

Evaluation of the portfolio performance indicators, using Evolino RNN trading model

Details

Publication Type (CRIS)

Straipsnis recenzuojamoje Lietuvos konferencijos medžiagoje / Article in peer-reviewed Lithuanian conference proceedings (P1f)

Publication Type (eLABa)

Straipsnis recenzuotame konferencijos darbų leidinyje / Article published in peer-reviewed conference proceedings (P1d)

Author(s)

Title

Evaluation of the portfolio performance indicators, using Evolino RNN trading model

[en]

Nijolė Maknickienė

Is part of

Contemporary issues in business, management and education'2012 [elektronininis išteklius], 15 November, 2012, Vilnius, Lithuania : selected papers

Published In

Year	Start Page	End Page
2012	158	169

Publisher

Vilnius : Technika, 2012

Extent

p. 158-169

URI

URI	Access Rights
https://hdl.handle.net/20.500.14911/137936
Straipsnis	Viso teksto dokumentas (atviroji prieiga) / Full Text Document (Open Access)

Cited references

Science / Art Area

Socialiniai mokslai / Social sciences (S)

Field of Science / Art

Ekonomika / Economics (S004)

Keywords (en)

Abstract (en)

The conditions for investment depend on correct forecasts of financial markets parameters received by artificial intelligence based on currency trading models, where AI was used as probabilistic forecasting tool. Improvements of predictions probability directly influence the investment portfolio performance indicators and their inter-relationship. Newly developed Evolino Recurrent Neural Network (RNN) based on forecasting model was used for study of influence of currency exchange rate forecasts on investment decisions related with reception and choice of investment strategy. Results of portfolio performance indicators and portfolio riskiness are presented.