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Повышение Эффективности Валютного Хеджирования На Основе Результатов Нейроструктурного Прогнозирования

Author

Listed:
  • Сараев Павел Викторович

    (Липецкий государственный технический университет)

  • Сяглова Юлия Евгеньевна

    (ООО «НЛМК – информационные технологии»)

Abstract

Дан анализ эффективности применения результатов нейроструктурного прогнозирования временных рядов (курсов валют) в процессе хеджирования валютных рисков с применением производных финансовых инструментов. Описан разработанный программный продукт. Рассмотрена методика расчетов по исследованию эффективности применения нейроструктурных прогнозов. Приведены результаты вычислительных экспериментов.The paper gives the analysis of effectiveness of using results of time series neurostructural prediction (exchange rates) in hedging of currency risks using derivative financial instruments. Description of the developed software is given. The technique of computation of effectiveness of use of neurostructural predictions is considered. Results of computational experiments are provided.

Suggested Citation

  • Сараев Павел Викторович & Сяглова Юлия Евгеньевна, 2013. "Повышение Эффективности Валютного Хеджирования На Основе Результатов Нейроструктурного Прогнозирования," Проблемы управления, CyberLeninka;Общество с ограниченной ответственностью "СенСиДат-Контрол", issue 6, pages 48-52.
    • Handle: RePEc:scn:009530:14508972
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