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Application of the Committee Machine Method to Forecast the Movement of Exchange Rates and Oil Prices

Akberdina V.V. Institute of Economics of Ural Branch of Russian Academy of Sciences, Yekaterinburg, Russian Federation ( akb_vic@mail.ru )

Chernavin N.P. Institute of Economics of Ural Branch of Russian Academy of Sciences, Yekaterinburg, Russian Federation ( chernavin_fedor@mail.ru )

Chernavin F.P. Institute of Economics of Ural Branch of Russian Academy of Sciences, Yekaterinburg, Russian Federation ( chernavin_fedor@mail.ru )

Journal: Finance and Credit, #46, 2017

Importance This article discusses the forecasting of financial asset prices considering the most liquid and known financial assets of currency and commodity markets, such as currency pairs of USD/RUB, EUR/RUB, CAD/USD and the Brent crude oil.
Objectives The paper aims to show that in financial markets, a great number of traders and analysts are shaping the demand for new interesting analytical tools, develop a methodology for establishing committee machine designs and principles of their use in financial markets, and show real practical results of the committee machine method use.
Methods To forecast the price of financial assets, we used a committee machine method based on majority voting. Data from the Moscow Exchange (MOEX) and FOREX market are used as a source of information on market prices.
Results The paper shows the conditions for the applicability of the decision rules received in real trade. For illustration purposes, the decisions given in the article are analyzed by income from January 7, 2010 to May 23, 2017.
Conclusions and Relevance The paper concludes that the committee machine method is applicable as a tool for forecasting real time financial asset prices.


Application of the Committee Machine Method to Forecast the Movement of Exchange Rates and Oil Prices

Akberdina V.V. Institute of Economics of Ural Branch of Russian Academy of Sciences, Yekaterinburg, Russian Federation ( akb_vic@mail.ru )

Chernavin N.P. Institute of Economics of Ural Branch of Russian Academy of Sciences, Yekaterinburg, Russian Federation ( ch_k@mail.ru )

Chernavin F.P. Institute of Economics of Ural Branch of Russian Academy of Sciences, Yekaterinburg, Russian Federation ( chernavin_fedor@mail.ru )

Journal: Digest Finance, #1, 2018

Importance This article discusses the forecasting of financial asset prices considering the most liquid and known financial assets of currency and commodity markets, such as currency pairs of USD/RUB, EUR/RUB, CAD/USD and the Brent crude oil.
Objectives The paper aims to show that in financial markets, a great number of traders and analysts are shaping the demand for new interesting analytical tools, develop a methodology for establishing committee machine designs and principles of their use in financial markets, and show real practical results of the committee machine method use.
Methods To forecast the price of financial assets, we used a committee machine method based on majority voting. Data from the Moscow Exchange (MOEX) and FOREX market are used as a source of information on market prices.
Results The paper shows the conditions for the applicability of the decision rules received in real trade. For illustration purposes, the decisions given in the article are analyzed by income from January 7, 2010 to May 23, 2017.
Conclusions and Relevance The paper concludes that the committee machine method is applicable as a tool for forecasting real time financial asset prices.


Applying the committee machine method to forecast responses of oil prices to changes in oil reserves

Akberdina V.V. Institute of Economics of Ural Branch of Russian Academy of Sciences, Yekaterinburg, Russian Federation ( akb_vic@mail.ru )

Chernavin N.P. Institute of Economics of Ural Branch of Russian Academy of Sciences, Yekaterinburg, Russian Federation ( ch_k@mail.ru )

Chernavin F.P. PAO Sberbank, Yekaterinburg, Russian Federation ( chernavin_fedor@mail.ru )

Journal: Finance and Credit, #5, 2018

Subject The article addresses oil price forecasting, being very important for all financial market actors as oil is an essential asset and any changes in oil prices have a direct influence on the entire financial markets industry.
Objectives The purposes of the study are to describe the logic of developing the analytical and forecasting methods, which are used on financial markets; to devise a committee machine methodology to analyze data from financial markets; to build a real committee machine model for oil price forecasting.
Methods To forecast oil prices, we apply the committee machine method with majority logic. Main sources of information on market prices and oil reserves include websites of FINAM company, Investing.com, and Bloomberg analytical platform.
Results Constructed committee machines with majority logic of 3 and 5 members are the results of the research. To build the models, we analyzed intraday quotes on the day of the EIA report publishing and changes in oil supplies from 11 February 2009 to 9 August 2017. Based on the analysis and comparison of the models' quality, we built a model to forecast heightened volatility of oil prices after the EIA report release.
Conclusions The findings show that the committee machine method can be used as a tool to forecast oil price changes.


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