2.8. Прогнозирование динамики финансовых процессов, представленных 4-х мерным временным рядом

Предлагается:

1) по заданному 4-х мерному временному ряду котировок на FOREX определить количество прогнозируемых сделок и общую сумму дохода по ним, используя показатель текущей волатильности;

2) по заданному 4-х мерному временному ряду котировок на FOREX определить количество прогнозируемых сделок и общую сумму дохода по ним, используя показатель ±DM (Directional Movement);

3) по заданному 4-х мерному временному ряду котировок на FOREX определить количество прогнозируемых сделок и общую сумму дохода по ним, используя скользящую среднюю;

4) Провести анализ полученных результатов.

В качестве значения порядка простой скользящей средней и количества свечей, участвующих в расчете для прогноза с помощью показателя ±DM, выбрать m=3.

Установить следующие значения управляющих параметров для прогноза с помощью показателя текущей волатильности: m=1 и n=3.

Исходные данные представлены в таблицах 2.7-2.11.

Таблица 2.7

Исходные данные для варианта 1

t	Open	High	Low	Close	t	Open	High	Low	Close
1	1,4589	1,4610	1,4587	1,4593	24	1,4766	1,4904	1,4754	1,4851
2	1,4593	1,4747	1,4592	1,4719	25	1,4856	1,4911	1,4801	1,4850
3	1,4721	1,4778	1,4686	1,4741	26	1,4849	1,4948	1,4785	1,4797
4	1,4741	1,4822	1,4693	1,4751	27	1,4804	1,4804	1,4793	1,4795
5	1,4745	1,4751	1,4744	1,4747	28	1,4795	1,4846	1,4792	1,4828
6	1,4746	1,4749	1,4657	1,4687	29	1,4822	1,4829	1,4620	1,4643
7	1,4686	1,4737	1,4678	1,4708	30	1,4645	1,4668	1,4591	1,4619
8	1,4706	1,4740	1,4638	1,4656	31	1,4620	1,4649	1,4438	1,4491
9	1,4657	1,4811	1,4640	1,4804	32	1,4489	1,4544	1,4449	1,4510
10	1,4806	1,4816	1,4760	1,4775	33	1,4514	1,4525	1,4510	1,4524
11	1,4780	1,4806	1,4780	1,4805	34	1,4522	1,4575	1,4480	1,4517
12	1,4805	1,4912	1,4794	1,4863	35	1,4516	1,4612	1,4495	1,4575
13	1,4860	1,4919	1,4774	1,4781	36	1,4576	1,4595	1,4530	1,4569
14	1,4780	1,4856	1,4594	1,4651	37	1,4569	1,4645	1,4547	1,4637
15	1,4652	1,4713	1,4588	1,4641	38	1,4640	1,4706	1,4629	1,4676
16	1,4639	1,4692	1,4602	1,4614	39	1,4677	1,4678	1,4670	1,4670

Продолжение таблицы 2.7

t	Open	High	Low	Close	t	Open	High	Low	Close
17	1,4602	1,4602	1,4595	1,4595	40	1,4670	1,4688	1,4609	1,4651
18	1,4593	1,4599	1,4421	1,4426	41	1,4651	1,4754	1,4640	1,4725
19	1,4430	1,4683	1,4363	1,4665	42	1,4726	1,4729	1,4612	1,4708
20	1,4667	1,4667	1,4510	1,4629	43	1,4712	1,4835	1,4700	1,4817
21	1,4629	1,4777	1,4590	1,4754	44	1,4818	1,4860	1,4787	1,4829
22	1,4755	1,4775	1,4659	1,4670	45	1,4837	1,4838	1,4831	1,4836
23	1,4679	1,4689	1,4677	1,4689	46	1,4833	1,4842	1,4793	1,4826

Таблица 2.8

Исходные данные для варианта 2

t	Open	High	Low	Close	t	Open	High	Low	Close
1	1,5116	1,5227	1,5072	1,5191	24	1,5810	1,5835	1,5740	1,5793
2	1,5186	1,5237	1,5142	1,5179	25	1,5800	1,5813	1,5800	1,5807
3	1,5196	1,5206	1,5194	1,5201	26	1,5805	1,5893	1,5759	1,5765
4	1,5206	1,5271	1,5157	1,5196	27	1,5762	1,5784	1,5563	1,5617
5	1,5195	1,5246	1,5172	1,5198	28	1,5619	1,5699	1,5531	1,5688
6	1,5199	1,5299	1,5144	1,5272	29	1,5681	1,5685	1,5509	1,5679
7	1,5272	1,5393	1,5265	1,5393	30	1,5680	1,5771	1,5636	1,5729
8	1,5387	1,5456	1,5312	1,5343	31	1,5730	1,5737	1,5724	1,5728
9	1,5360	1,5402	1,5359	1,5397	32	1,5728	1,5734	1,5626	1,5706
10	1,5392	1,5402	1,5311	1,5360	33	1,5702	1,5796	1,5673	1,5701
11	1,5362	1,5492	1,5281	1,5341	34	1,5701	1,5862	1,5682	1,5834
12	1,5340	1,5570	1,5332	1,5528	35	1,5834	1,5910	1,5724	1,5742
13	1,5528	1,5641	1,5521	1,5617	36	1,5742	1,5851	1,5738	1,5824
14	1,5609	1,5684	1,5531	1,5671	37	1,5694	1,5704	1,5692	1,5701
15	1,5726	1,5738	1,5699	1,5702	38	1,5704	1,5883	1,5670	1,5835
16	1,5705	1,5901	1,5684	1,5715	39	1,5834	1,5871	1,5750	1,5787
17	1,5713	1,5829	1,5612	1,5639	40	1,5784	1,5975	1,5758	1,5940
18	1,5636	1,5782	1,5581	1,5637	41	1,5940	1,5979	1,5847	1,5890
19	1,5641	1,5644	1,5395	1,5443	42	1,5892	1,5953	1,5710	1,5806
20	1,5443	1,5470	1,5404	1,5430	43	1,5803	1,5813	1,5802	1,5811
21	1,5419	1,5422	1,5408	1,5412	44	1,5811	1,5944	1,5790	1,5908
22	1,5409	1,5452	1,5340	1,5412	45	1,5906	1,6016	1,5832	1,5995
23	1,5407	1,5654	1,5407	1,5630	46	1,5991	1,5995	1,5860	1,5882

Таблица 2.9

Исходные данные для варианта 3

t	Open	High	Low	Close	t	Open	High	Low	Close
1	1,5607	1,5616	1,5607	1,5613	24	1,5765	1,5789	1,5740	1,5772
2	1,5611	1,5690	1,5592	1,5650	25	1,5769	1,5816	1,5670	1,5675
3	1,5651	1,5657	1,5539	1,5561	26	1,5677	1,5757	1,5607	1,5646
4	1,5565	1,5641	1,5516	1,5615	27	1,5646	1,5661	1,5483	1,5510
5	1,5618	1,5641	1,5429	1,5467	28	1,5511	1,5567	1,5459	1,5555
6	1,5467	1,5495	1,5361	1,5411	29	1,5564	1,5567	1,5554	1,5558
7	1,5432	1,5433	1,5428	1,5428	30	1,5559	1,5587	1,5485	1,5538
8	1,5426	1,5517	1,5422	1,5496	31	1,5537	1,5625	1,5409	1,5432
9	1,5497	1,5591	1,5451	1,5527	32	1,5435	1,5480	1,5418	1,5421
10	1,5530	1,5536	1,5365	1,5393	33	1,5425	1,5597	1,5364	1,5580
11	1,5397	1,5437	1,5284	1,5401	34	1,5580	1,5773	1,5570	1,5768
12	1,5401	1,5486	1,5392	1,5480	35	1,5783	1,5797	1,5783	1,5788
13	1,5450	1,5460	1,5447	1,5455	36	1,5790	1,5841	1,5618	1,5639
14	1,5455	1,5568	1,5364	1,5539	37	1,5640	1,5651	1,5438	1,5454
15	1,5541	1,5564	1,5429	1,5468	38	1,5456	1,5584	1,5451	1,5555
16	1,5465	1,5484	1,5394	1,5477	39	1,5554	1,5564	1,5378	1,5448
17	1,5474	1,5544	1,5418	1,5442	40	1,5452	1,5480	1,5302	1,5359
18	1,5443	1,5598	1,5436	1,5592	41	1,5403	1,5412	1,5399	1,5399
19	1,5593	1,5596	1,5591	1,5593	42	1,5402	1,5515	1,5345	1,5465
20	1,5593	1,5631	1,5484	1,5517	43	1,5466	1,5549	1,5459	1,5504
21	1,5521	1,5677	1,5501	1,5651	44	1,5505	1,5535	1,5461	1,5526
22	1,5651	1,5795	1,5631	1,5794	45	1,5527	1,5584	1,5465	1,5500
23	1,5791	1,5811	1,5691	1,5720	46	1,5499	1,5649	1,5490	1,5624

Таблица 2.10

Исходные данные для варианта 4

t	Open	High	Low	Close	t	Open	High	Low	Close
1	1,5513	1,5619	1,5490	1,5568	24	1,5785	1,5795	1,5669	1,5683
2	1,5569	1,5684	1,5535	1,5663	25	1,5682	1,5711	1,5626	1,5676
3	1,5663	1,5765	1,5627	1,5749	26	1,5676	1,5751	1,5660	1,5696
4	1,5750	1,5788	1,5718	1,5786	27	1,5706	1,5706	1,5694	1,5694
5	1,5776	1,5780	1,5774	1,5775	28	1,5694	1,5765	1,5683	1,5737

Продолжение таблицы 2.10

t	Open	High	Low	Close	t	Open	High	Low	Close
6	1,5776	1,5833	1,5730	1,5752	29	1,5737	1,5755	1,5552	1,5581
7	1,5752	1,5824	1,5721	1,5794	30	1,5584	1,5613	1,5520	1,5575
8	1,5790	1,5889	1,5776	1,5888	31	1,5574	1,5697	1,5568	1,5596
9	1,5889	1,5907	1,5680	1,5694	32	1,5595	1,5596	1,5513	1,5538
10	1,5694	1,5724	1,5653	1,5696	33	1,5563	1,5574	1,5563	1,5573
11	1,5695	1,5701	1,5693	1,5693	34	1,5573	1,5628	1,5552	1,5571
12	1,5693	1,5750	1,5610	1,5721	35	1,5570	1,5574	1,5445	1,5448
13	1,5722	1,5737	1,5634	1,5665	36	1,5448	1,5513	1,5396	1,5412
14	1,5665	1,5747	1,5648	1,5736	37	1,5410	1,5500	1,5308	1,5322
15	1,5737	1,5798	1,5689	1,5783	38	1,5323	1,5332	1,4996	1,5015
16	1,5784	1,5945	1,5764	1,5922	39	1,4930	1,4945	1,4908	1,4937
17	1,5965	1,5968	1,5954	1,5964	40	1,4941	1,5081	1,4878	1,4890
18	1,5958	1,5958	1,5840	1,5902	41	1,4892	1,4962	1,4814	1,4912
19	1,5899	1,6036	1,5865	1,5908	42	1,4911	1,4977	1,4841	1,4920
20	1,5909	1,5944	1,5799	1,5817	43	1,4919	1,4947	1,4776	1,4802
21	1,5817	1,5890	1,5782	1,5858	44	1,4799	1,4802	1,4657	1,4671
22	1,5853	1,5885	1,5805	1,5835	45	1,4676	1,4686	1,4675	1,4682
23	1,5842	1,5843	1,5830	1,5836	46	1,4682	1,4765	1,4670	1,4681

Таблица 2.11

Исходные данные для варианта 5

t	Open	High	Low	Close	t	Open	High	Low	Close
1	1,4739	1,4906	1,4730	1,4891	24	1,4324	1,4490	1,4151	1,4473
2	1,4891	1,4898	1,4757	1,4772	25	1,4488	1,4498	1,4482	1,4492
3	1,4781	1,4789	1,4781	1,4785	26	1,4488	1,4864	1,4436	1,4796
4	1,4788	1,4805	1,4694	1,4750	27	1,4792	1,4823	1,4621	1,4666
5	1,4751	1,4758	1,4570	1,4641	28	1,4667	1,4743	1,4602	1,4611
6	1,4642	1,4774	1,4632	1,4714	29	1,4614	1,4765	1,4560	1,4614
7	1,4714	1,4808	1,4670	1,4696	30	1,4615	1,4676	1,4554	1,4610
8	1,4691	1,4765	1,4639	1,4668	31	1,4549	1,4550	1,4511	1,4516
9	1,4694	1,4720	1,4691	1,4698	32	1,4516	1,4564	1,4301	1,4414
10	1,4698	1,4716	1,4580	1,4594	33	1,4418	1,4422	1,4008	1,4112
11	1,4585	1,4596	1,4465	1,4514	34	1,4112	1,4171	1,3975	1,4004

Продолжение таблицы 2.11

t	Open	High	Low	Close	t	Open	High	Low	Close
12	1,4513	1,4529	1,4384	1,4490	35	1,4005	1,4022	1,3747	1,3800
13	1,4492	1,4541	1,4212	1,4240	36	1,3798	1,3903	1,3702	1,3802
14	1,4256	1,4345	1,4196	1,4233	37	1,3665	1,3705	1,3628	1,3636
15	1,4334	1,4397	1,4334	1,4373	38	1,3634	1,3675	1,3442	1,3482
16	1,4381	1,4426	1,4052	1,4116	39	1,3488	1,3738	1,3481	1,3626
17	1,4115	1,4223	1,4045	1,4103	40	1,3608	1,3752	1,3543	1,3628
18	1,4108	1,4176	1,3952	1,3960	41	1,3630	1,3782	1,3578	1,3594
19	1,3972	1,4038	1,3880	1,4020	42	1,3596	1,3648	1,3254	1,3411
20	1,4009	1,4220	1,3972	1,4214	43	1,3571	1,3573	1,3545	1,3564
21	1,4340	1,4346	1,4295	1,4297	44	1,3571	1,3680	1,3455	1,3594
22	1,4289	1,4478	1,4084	1,4269	45	1,3594	1,3766	1,3588	1,3616
23	1,4272	1,4279	1,4073	1,4100	46	1,3619	1,3685	1,3447	1,3460