prikaz prve stranice dokumenta Model visokofrekventnih financijskih vremenskih nizova zasnovan na strojnom učenju
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master's thesis
Model visokofrekventnih financijskih vremenskih nizova zasnovan na strojnom učenju
Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing, 2020. urn:nbn:hr:168:248358
Rezić, Jure
University of Zagreb
Faculty of Electrical Engineering and Computing

Institutional repository: FER Repository

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Rezić, J. (2020). Model visokofrekventnih financijskih vremenskih nizova zasnovan na strojnom učenju (Master's thesis). Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing. Retrieved from https://urn.nsk.hr/urn:nbn:hr:168:248358

Rezić, Jure. "Model visokofrekventnih financijskih vremenskih nizova zasnovan na strojnom učenju." Master's thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2020. https://urn.nsk.hr/urn:nbn:hr:168:248358

Rezić, Jure. "Model visokofrekventnih financijskih vremenskih nizova zasnovan na strojnom učenju." Master's thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2020. https://urn.nsk.hr/urn:nbn:hr:168:248358

Rezić, J. (2020). 'Model visokofrekventnih financijskih vremenskih nizova zasnovan na strojnom učenju', Master's thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, accessed 01 June 2024, https://urn.nsk.hr/urn:nbn:hr:168:248358

Rezić J. Model visokofrekventnih financijskih vremenskih nizova zasnovan na strojnom učenju [Master's thesis]. Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing; 2020 [cited 2024 June 01] Available at: https://urn.nsk.hr/urn:nbn:hr:168:248358

J. Rezić, "Model visokofrekventnih financijskih vremenskih nizova zasnovan na strojnom učenju", Master's thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, Zagreb, 2020. Available at: https://urn.nsk.hr/urn:nbn:hr:168:248358

Metadata
TitleModel visokofrekventnih financijskih vremenskih nizova zasnovan na strojnom učenju
Title (english)Machine Learning Based Model for High-frequency Financial Time Series
AuthorJure Rezić
MentorZvonko Kostanjčar (mentor)
Committee memberZvonko Kostanjčar (predsjednik povjerenstva)
Committee memberTomislav Petković (član povjerenstva)
Committee memberJuraj Petrović (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Electrical Engineering and Computing
Zagreb
Defense date and country2020-07-16, Croatia
Scientific / art field,
discipline and subdiscipline		TECHNICAL SCIENCES
Computing
Abstract
U sklopu ovog diplomskog rada razvijen je model zasnovan na strojnom učenju financijskih vremenskih nizova dobiven iz visokofrekventnih podataka o trgovanju. Iz sirovih podataka s burze Bitstamp rekonstruirani su vremenski nizovi različitih frekvencija. U tim vremenskim nizovima izračunate su značajke koje su služile kao ulaz u model, a predstavljaju dinamiku i statistička svojstva promatranih nizova. Razvijeni model korišten je prvo za predikciju volatilnosti, koja omogućava predviđanje rizika i promjenu smjera kretanja, a zatim za predviđanje iznosa povrata na danom vremenskom intervalu.
Abstract (english)
As part of this thesis, a machine learning based model of high-frequency financial time series obtained from high-frequency trading data was developed. Time series of different frequencies were reconstructed using raw data from the Bitstamp exchange. In these time series, the features that served as an input to the machine learning model were calculated, and they represent the dynamics and statistical properties of the observed series. The developed model was used first to predict volatility, which allows to predict risk and change of the direction of price movement, and then to predict the amount of return on a given time interval.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:168:248358
Study programmeTitle: Computing
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra inženjer/inženjerka računarstva (magistar/magistra inženjer/inženjerka računarstva)
Type of resourceText
File originBorn digital
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Created on2023-01-13 13:42:43