Stock Markets Analysis Using New Genetic Annealed Neural Network

• Název práce v češtině: Analýza akciových trhů s využitím nové geneticky žíhané neuronové sítě
• Název v anglickém jazyce: Stock Markets Analysis Using New Genetic Annealed Neural Network
• Klíčová slova: analýza akciových výnosov, neurónové siete, genetické algoritmy, simulované žíhanie, hybridné siete
• Klíčová slova anglicky: stock returns analysis, neural networks, genetic algorithms, simulated annealing, hybrid networks
• Akademický rok vypsání: 2011/2012
• Typ práce: rigorózní práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: doc. PhDr. Jozef Baruník, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 31.01.2012
• Datum zadání: 31.01.2012
• Datum a čas obhajoby: 21.03.2012 13:00
• Místo konání obhajoby: IES, m 601
• Datum odevzdání elektronické podoby: 17.02.2012
• Datum proběhlé obhajoby: 21.03.2012
• Oponenti: prof. Ing. Miloslav Vošvrda, CSc.

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Předběžná náplň práce

Tato práce si klade za cíl analyzovat výnosy akciových trhů s využitím nového typu neuronové sítě, která kombinuje principy klasických neuronových sítí a metaheuristických metod v podobě simulovaného žíhání a genetických algoritmů. V empirické části porovnává výkony prezentované sítě s klasickými metodami analýzy časových rad a třemi typy běžných neuronových sítí na pěti světových akciových indexech.

Předběžná náplň práce v anglickém jazyce

This thesis focuses on stock markets returns analysis using a new type of neural network which combines the principles of standard artificial neural networks and metaheuristic methods, namely simulated annealing and genetic algorithms. In empirical part compares the performance of the presented network with conventional time series analysis methods and free types of ordinary neural networks on five world stock indices.