Thesis /

ROMDOC-THESIS-2016-371

Sistem de măsură expert pentru modelarea dinamică a pieţei bursiere

Niţescu, Dan
2008-09-24

Abstract: Expert Measurement System for the Dynamic Modeling of the Stock Market Abstract The goal of the project framework “Expert Measurement System for the Dynamic Modeling of the Stock Market” is, on the one hand, to reveal the understanding, analysis and formalization of the stock market transactions, and, on the other, to expose the practical realization of a Dynamic Model by implementing that understanding. The change of the Fractal model, which naturally depicts the stock market transactions, with a formal dynamic model, underpinned by the use of Markov chains, represents my original contribution to this domain. The dissertation details the way in which such a modeling has been practically done, revealing the software tools I have used and, last but not least, which the criteria were for using these tools. The building of The Dynamic Model is based on the acquisition data structured within the context of a time_model. This Dynamic Model of the Stock Market is then integrated into an entity information system, and, having in view the forecasting goal of the dynamic processes, it has been tested upon NASDAQ stock market. The forecasted transaction price for the stock market shares is made by the recognition of the Kairos structures, as well as by the identification of The Next Event, which are based on the conditional transition probabilities of the Markov family, representing the dynamic of the examined process. The test of this model consists in the automatic estimation of the forecasting performance for the specific NASDAQ share price by means of the expert JESS technology. The result of my research work is to be found in the performance and the forecasting reliability of the proposed information system. Keywords: Transaction, Stock Market, Fractal, Markov Chain, Software Tools, Choosing Criterion, Dynamic Model, time_model, NASDAQ, Kairos structure, Next Event, JESS technology.

Keyword(s): Piată bursieră -- Modelare matematică -- Sisteme expert -- Teză de doctorat
OPAC: See record in BC-UPB Web OPAC
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