01. Shchennikov VN, Shchennikova YeV, Sannikov SA. Comparison of models with neural network and OLS-regression in constructing the risk management strategy against the income according to index

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UDC 519.876.5:004.942

DOI: 10.15507/0236-2910.027.201701.012-020

COMPARISON OF MODELS WITH NEURAL NETWORK AND OLS-REGRESSION IN CONSTRUCTING THE RISK MANAGEMENT STRATE GY AGAINST THE INCOME ACCORDING TO INDEX

Vladimir N. Shchennikov
Professor of Chair of Applied Mathematics, Differential Equations and Theoretical Mechanics, National Research Mordovia State University (68 Bolshevistskaya St., Saransk 430005, Russia), Dr.Sci. (Physics and Mathematics), ORCID: http://orcid.org/0000-0002-1034-1293, This email address is being protected from spambots. You need JavaScript enabled to view it.

Yelena V. Shchennikova
Professor of Chair of Fundamental Informatics, National Research Mordovia State University (68 Bolshevistskaya St., Saransk 430005, Russia), Dr.Sci. (Physics and Mathematics), ORCID: http://orcid.org/0000-0001-5989-3550, This email address is being protected from spambots. You need JavaScript enabled to view it.

Sergey A. Sannikov
Postgraduate Student, Chair of Applied Mathematics, Differential Equations and Theoretical Mechanics, National Research Mordovia State University (68 Bolshevistskaya St., Saransk 430005, Russia), ORCID: http://orcid.org/0000-0002-6135-6954, This email address is being protected from spambots. You need JavaScript enabled to view it.

Introduction: The models with neural network and OLS-regressions are used in the stock market and include variables that describe the state of the stock market. One of the possible ways to determine these dependencies is clusterization trough analizing principal components. The main aim of the research is revealing the essence of two promising heuristic approaches to assessment of the dynamics of functional relationships between the incomes in the stock market and variables that describe the state of the market.
Materials and Methods: The source data are models with a continuous network and OLS-regression in the area of management strategies. Mathematical statistics revenue management strategies.
Results: It is well known that specifics of functional relationship establishment between the income in the stock market lies in their clusterization through a linear (nonlinear) analysis of principal components of the market condition. We analyzed two promising heuristic approaches to the assessment of the dynamics of functional relationships between the income in the stock market and variables describing the state of the market.
Discussion and Conclusions: The analysis of the dynamics of functional links between the revenues on the stock market was made.

Keywords: MBPN models, volatility, mean square estimation, OLS-regression, trade rules

For citation: Shchennikov VN, Shchennikova YeV, Sannikov SA. Comparison of models with neural network and OLS-regression in constructing the risk management strategy against the income according to index. Vestnik Mordovskogo universiteta = Mordovia University Bulletin. 2017; 1(27):12-20. DOI: 10.15507/0236-2910.027.201701.012-020

Contribution of the co-authors: V. Shchennikov: scientific management, formulation of the problem, development of research methods, critical analysis and revision of the draft; Ye. Shchennikova: collection and analysis of data on research topic, critical analysis and revision of the decision; S. Sannikov: analysis of the scientific literature on research topic, computer implementation of the solution, writing of the manuscript.

All authors have read and approved the final manuscript.

This work is licensed under a Creative Commons Attribution 4.0 License.