Key words
decision support system, securities, interval data, indicator, mathematical model, minimax, profit
articles
Authors:
Vygodchikova I., Gusyatnikov V. Published in
№ 2(74)
27 april 2018 year
Rubric: Mathematical tools
Rubric: Mathematical tools
Tools of decisions making based on application minimax indicator for interval data of the stock market dynamics
Decision-making process when carrying out transactions with securities is based on the use of mathematical
models that create competitive advantage in the game of trading robots. When using well-known
methods and models for making trading decisions with securities, initial data are subject to smoothing,
as result of which important properties of simulated process can be lost, which significantly reduces
the efficiency of the decision taken by trading system. Taking into account interval data in mathematical
formulation of the problem of decision-making in the stock market allows you to take into account
the amplitude of the change in the price of shares for each day of trading and justify the indicator to
improve the quality of the generated solutions. Authors of the article design a trading system using
as the primary method of decision-making indicator based on the calculation of minimax criterion.
Is executed the implementation of trading robot, which allowed to improve decision-making method
based on moving average and to increase profitability of operations with shares. To demonstrate tools
of decision-making developed in article, computational experiments were carried out on stock market
based at results of trading shares of company «Rossiiskie seti». Investor, using author’s
tools of trade,
increased its capital by 5% per annum compared with method of trading based on the moving average.
The author:
Vygodchikova I.
Degree:
PhD in Physics & Mathematics, Associate Professor, National Research Saratov State University named after N. G. Chernyshevsky
Location:
Saratov
All articles:
The author:
Gusyatnikov V.
Degree:
Dr of Physics & Mathematics, chair of department of applied mathematics and informatics, Plekhanov Russian University of Economics, Saratov Socio-Economic Institute (branch)
Location:
Saratov
