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Strojové učení a modelování měnových kurzů v praxi finančního řízení

In: Ekonomický časopis/Journal of Economics, vol. 56, no. 8
Petr Buryan - Josef Taušer
Detaily:
Rok, strany: 2008, 781 - 799
Kľúčové slová:
machine learning, neural networks, group method of data handling, exchange rate forecasting, exchange rate risk management, exchange rate derivatives JEL Classification F31, F37
Typ článku: Vedecký / Article
O článku:
Exchange rates forecasting is an important financial problem that is receiving increasing attention especially because of its difficulty and practical applications. This paper proposes utilisation of Machine Learning methods in the field of financial praxis. Two modelling approaches – enhanced Group Method of Data Handling (GMDH) and back propagation Neural network – were employed for CZK/EUR exchange rate forecasting. Predictions were used for financial management decision simulation of a virtual company and the results indicate, that machine learning proved to be useful source of information in the area. This implies that the proposed modelling approaches can be used as a feasible solution for exchange rate forecasting in exchange rate management.
Exchange rates forecasting is an important financial problem that is receiving increasing attention especially because of its difficulty and practical applications. This paper proposes utilisation of Machine Learning methods in the field of financial praxis. Two modelling approaches – enhanced Group Method of Data Handling (GMDH) and back propagation Neural network – were employed for CZK/EUR exchange rate forecasting. Predictions were used for financial management decision simulation of a virtual company and the results indicate, that machine learning proved to be useful source of information in the area. This implies that the proposed modelling approaches can be used as a feasible solution for exchange rate forecasting in exchange rate management.
Ako citovať:
ISO 690:
Buryan, P., Taušer, J. 2008. Strojové učení a modelování měnových kurzů v praxi finančního řízení. In Ekonomický časopis/Journal of Economics, vol. 56, no.8, pp. 781-799. 0013-3035.

APA:
Buryan, P., Taušer, J. (2008). Strojové učení a modelování měnových kurzů v praxi finančního řízení. Ekonomický časopis/Journal of Economics, 56(8), 781-799. 0013-3035.