title: Ð Ð°Ð·ÑÐ°Ð±Ð¾ÑÐºÐ° Ð¼Ð¾Ð´ÐµÐ»Ð¸ Ð´Ð»Ñ Ð¿ÑÐ¾Ð³Ð½Ð¾Ð·Ð¸ÑÐ¾Ð²Ð°Ð½Ð¸Ñ ÑÐ¸Ð½Ð°Ð½ÑÐ¾Ð²ÑÑ Ð²ÑÐµÐ¼ÐµÐ½Ð½ÑÑ ÑÑÐ´Ð¾Ð²
title: Ð²ÑÐ¿ÑÑÐºÐ½Ð°Ñ ÐºÐ²Ð°Ð»Ð¸ÑÐ¸ÐºÐ°ÑÐ¸Ð¾Ð½Ð½Ð°Ñ ÑÐ°Ð±Ð¾ÑÐ° Ð±Ð°ÐºÐ°Ð»Ð°Ð²ÑÐ°
titleType: Subtitle
title: Development of a model for financial time series forecasting
Creators: name: Ð¡Ð°ÑÐ¾Ð½Ð¾Ð², ÐÐ¸ÐºÐ¸ÑÐ°
Publisher: name: Ð¡Ð°Ð½ÐºÑ-ÐÐµÑÐµÑÐ±ÑÑÐ³ÑÐºÐ¸Ð¹ Ð¿Ð¾Ð»Ð¸ÑÐµÑÐ½Ð¸ÑÐµÑÐºÐ¸Ð¹ ÑÐ½Ð¸Ð²ÐµÑÑÐ¸ÑÐµÑ ÐÐµÑÑÐ° ÐÐµÐ»Ð¸ÐºÐ¾Ð³Ð¾
Year: 2023
Subjects: Ð¿ÑÐ¾Ð³Ð½Ð¾Ð·Ð¸ÑÐ¾Ð²Ð°Ð½Ð¸Ðµ Ð²ÑÐµÐ¼ÐµÐ½Ð½ÑÑ ÑÑÐ´Ð¾Ð²
Ð¼Ð°ÑÐ¸Ð½Ð½Ð¾Ðµ Ð¾Ð±ÑÑÐµÐ½Ð¸Ðµ
Ð¸ÑÐºÑÑÑÑÐ²ÐµÐ½Ð½ÑÐµ Ð½ÐµÐ¹ÑÐ¾Ð½Ð½ÑÐµ ÑÐµÑÐ¸
GRU
time series forecasting
machine learning
artificial neural networks

description: ÐÑÐµÐ´Ð¼ÐµÑÐ¾Ð¼ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑÐ²Ð»ÑÐµÑÑÑ Ð°Ð½Ð°Ð»Ð¸Ð· Ð¼ÐµÑÐ¾Ð´Ð¾Ð² Ð¿ÑÐ¾Ð³Ð½Ð¾Ð·Ð¸ÑÐ¾Ð²Ð°Ð½Ð¸Ñ ÑÐ¸Ð½Ð°Ð½ÑÐ¾Ð²ÑÑ Ð²ÑÐµÐ¼ÐµÐ½Ð½ÑÑ ÑÑÐ´Ð¾Ð² Ð¸ ÑÐµÐ°Ð»Ð¸Ð·Ð°ÑÐ¸Ñ Ð¼Ð¾Ð´ÐµÐ»Ð¸ Ð½Ð° Ð¾ÑÐ½Ð¾Ð²Ðµ Ð½Ð°Ð¸Ð±Ð¾Ð»ÐµÐµ ÑÐ¾ÑÐ½Ð¾Ð³Ð¾ Ð¼ÐµÑÐ¾Ð´Ð°. Ð¦ÐµÐ»Ñ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ â ÑÐ°Ð·ÑÐ°Ð±Ð¾ÑÐ°ÑÑ Ð¼Ð¾Ð´ÐµÐ»Ñ Ð´Ð»Ñ Ð¿ÑÐ¾Ð³Ð½Ð¾Ð·Ð¸ÑÐ¾Ð²Ð°Ð½Ð¸Ñ ÑÐ¸Ð½Ð°Ð½ÑÐ¾Ð²ÑÑ Ð²ÑÐµÐ¼ÐµÐ½Ð½ÑÑ ÑÑÐ´Ð¾Ð². Ð ÑÐ°Ð±Ð¾ÑÐµ Ð¸ÑÐ¿Ð¾Ð»ÑÐ·ÑÑÑÑÑ ÑÐ°ÐºÐ¸Ðµ Ð¼ÐµÑÐ¾Ð´Ñ ÐºÐ°Ðº ÑÐºÑÐ¿ÐµÑÐ¸Ð¼ÐµÐ½Ñ, Ð¸Ð·Ð¼ÐµÑÐµÐ½Ð¸Ðµ Ð¸ ÑÑÐ°Ð²Ð½ÐµÐ½Ð¸Ðµ. Ð ÑÐ¾Ð´Ðµ ÑÐ°Ð±Ð¾ÑÑ Ð±ÑÐ»Ð¸ Ð¸Ð·ÑÑÐµÐ½Ñ Ð½Ð°ÑÑÐ½ÑÐµ ÑÐ°Ð±Ð¾ÑÑ Ð² Ð´Ð°Ð½Ð½Ð¾Ð¹ Ð¾Ð±Ð»Ð°ÑÑÐ¸, Ð´Ð°Ð½Ñ Ð¾Ð±ÑÐ¸Ðµ Ð¿Ð¾Ð½ÑÑÐ¸Ñ Ð¸ Ð¾Ð¿Ð¸ÑÐ°Ð½Ñ Ð½Ð°Ð¸Ð±Ð¾Ð»ÐµÐµ Ð¿Ð¾Ð¿ÑÐ»ÑÑÐ½ÑÐµ Ð¼ÐµÑÐ¾Ð´Ñ Ð¿ÑÐ¾Ð³Ð½Ð¾Ð·Ð¸ÑÐ¾Ð²Ð°Ð½Ð¸Ñ ÑÐ¸Ð½Ð°Ð½ÑÐ¾Ð²ÑÑ Ð²ÑÐµÐ¼ÐµÐ½Ð½ÑÑ ÑÑÐ´Ð¾Ð². ÐÑÐ¾Ð²ÐµÐ´ÐµÐ½Ð¾ ÑÑÐ°Ð²Ð½ÐµÐ½Ð¸Ðµ ÑÐ¾ÑÐ½Ð¾ÑÑÐ¸ Ð¿ÑÐ¾Ð³Ð½Ð¾Ð·Ð¾Ð² Ð¼Ð¾Ð´ÐµÐ»ÐµÐ¹ Ð½Ð° Ð¾ÑÐ½Ð¾Ð²Ðµ Ð´Ð°Ð½Ð½ÑÑ Ð¼ÐµÑÐ¾Ð´Ð¾Ð² Ð¸ Ð²ÑÑÐ²Ð»ÐµÐ½Ð¾, ÑÑÐ¾ Ð½Ð°Ð¸Ð±Ð¾Ð»ÐµÐµ ÑÐ¾ÑÐ½ÑÐ¹ Ð¿ÑÐ¾Ð³Ð½Ð¾Ð· Ð¸Ð¼ÐµÐµÑ Ð¼Ð¾Ð´ÐµÐ»Ñ Ð½Ð° Ð¾ÑÐ½Ð¾Ð²Ðµ Ð¸ÑÐºÑÑÑÑÐ²ÐµÐ½Ð½Ð¾Ð¹ Ð½ÐµÐ¹ÑÐ¾Ð½Ð½Ð¾Ð¹ ÑÐµÑÐ¸ Ñ Ð´Ð²ÑÐ¼Ñ ÑÐ»Ð¾ÑÐ¼Ð¸ GRU. ÐÑÐ»Ð° ÑÐ°Ð·ÑÐ°Ð±Ð¾ÑÐ°Ð½Ð° Ð¸ Ð¾Ð±ÑÑÐµÐ½Ð° Ð¼Ð¾Ð´ÐµÐ»Ñ Ð¸ ÑÑÐ½ÐºÑÐ¸Ð¸ Ð´Ð»Ñ Ð¿Ð¾Ð´Ð³Ð¾ÑÐ¾Ð²ÐºÐ¸ Ð´Ð°Ð½Ð½ÑÑ, Ð±ÑÐ»Ð° Ð¾ÑÐµÐ½ÐµÐ½Ð° ÑÐ¾ÑÐ½Ð¾ÑÑÑ Ð¿ÑÐ¾Ð³Ð½Ð¾Ð·Ð° Ð¼Ð¾Ð´ÐµÐ»Ð¸ Ð½Ð° ÑÐ°Ð·Ð»Ð¸ÑÐ½ÑÑ Ð´Ð°Ð½Ð½ÑÑ. Ð ÑÐ¾Ð´Ðµ ÑÐºÑÐ¿ÐµÑÐ¸Ð¼ÐµÐ½ÑÐ°Ð»ÑÐ½Ð¾Ð³Ð¾ Ð°Ð½Ð°Ð»Ð¸Ð·Ð° Ð¼Ð¾Ð´ÐµÐ»Ñ Ð±ÑÐ»Ð° Ð²ÑÑÑÐ¾ÐµÐ½Ð° Ð² ÑÐµÑÐ²Ð¸Ñ Ð´Ð»Ñ Ð¿ÑÐ¾Ð³Ð½Ð¾Ð·Ð¸ÑÐ¾Ð²Ð°Ð½Ð¸Ñ. Ð ÑÐµÐ·ÑÐ»ÑÑÐ°ÑÐµ Ð²ÑÐ¿Ð¾Ð»Ð½ÐµÐ½Ð¸Ñ ÑÐ°Ð±Ð¾ÑÑ Ð±ÑÐ»Ð¸ Ð¿Ð¾Ð»ÑÑÐµÐ½Ñ ÑÐºÑÐ¿ÐµÑÐ¸Ð¼ÐµÐ½ÑÐ°Ð»ÑÐ½ÑÐµ Ð´Ð°Ð½Ð½ÑÐµ,Â  Ð¿Ð¾ÐºÐ°Ð·ÑÐ²Ð°ÑÑÐ¸Ðµ, ÑÑÐ¾ Ð¼Ð¾Ð´ÐµÐ»Ð¸ Ð½Ð° Ð¾ÑÐ½Ð¾Ð²Ðµ Ð¸ÑÐºÑÑÑÑÐ²ÐµÐ½Ð½ÑÑ Ð½ÐµÐ¹ÑÐ¾Ð½Ð½ÑÑ ÑÐµÑÐµÐ¹ Ð¸ Ð¼ÐµÑÐ¾Ð´Ð¾Ð² Ð¼Ð°ÑÐ¸Ð½Ð½Ð¾Ð³Ð¾ Ð¾Ð±ÑÑÐµÐ½Ð¸Ñ Ð¼Ð¾Ð³ÑÑ Ð¿ÑÐ¾Ð³Ð½Ð¾Ð·Ð¸ÑÐ¾Ð²Ð°ÑÑ ÑÐ¸Ð½Ð°Ð½ÑÐ¾Ð²ÑÐµ Ð²ÑÐµÐ¼ÐµÐ½Ð½ÑÐµ ÑÑÐ´Ñ ÑÐ¾ÑÐ½ÐµÐµ, ÑÐµÐ¼ ÐºÐ»Ð°ÑÑÐ¸ÑÐµÑÐºÐ¸Ðµ Ð°Ð²ÑÐ¾ÑÐµÐ³ÑÐµÑÑÐ¸Ð¾Ð½Ð½ÑÐµ Ð¼Ð¾Ð´ÐµÐ»Ð¸. ÐÐ° Ð¿ÑÐ°ÐºÑÐ¸ÐºÐµ Ð¿Ð¾Ð»ÑÑÐµÐ½Ð½ÑÐµ ÑÐµÐ·ÑÐ»ÑÑÐ°ÑÑ Ð¼Ð¾Ð³ÑÑ Ð¿ÑÐ¸Ð¼ÐµÐ½ÑÑÑÑÑ Ð² Ð¾Ð±Ð»Ð°ÑÑÐ¸ ÑÐ¿ÑÐ°Ð²Ð»ÐµÐ½Ð¸Ñ ÑÐ¸ÑÐºÐ°Ð¼Ð¸, Ð° ÑÐ°ÐºÐ¶Ðµ Ð² Ð´Ð°Ð»ÑÐ½ÐµÐ¹ÑÐ¸Ñ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸ÑÑ Ð² Ð¾Ð±Ð»Ð°ÑÑÐ¸ Ð¿ÑÐ¾Ð³Ð½Ð¾Ð·Ð¸ÑÐ¾Ð²Ð°Ð½Ð¸Ñ ÑÐ¸Ð½Ð°Ð½ÑÐ¾Ð²ÑÑ Ð²ÑÐµÐ¼ÐµÐ½Ð½ÑÑ ÑÑÐ´Ð¾Ð².
description: The subject of the study is an analysis of financial time series forecasting methods and implementing of model based on the most accurate method. The propose of the study is to develop a model for financial time series forecasting. The work uses such methods as experiment, measurement and comparison. In the course of the work, scientific works in this field were studied, general concepts were given and the most popular methods of forecasting financial time series were described. A comparison of the accuracy of model predictions based on these methods was carried out, it was revealed that the most accurate forecast has a model based on an artificial neural network with two layers of GRU. A model and functions for data preparation were developed and trained, and the accuracy of the model prediction on various data was evaluated. During the experimental analysis, the model was integrated into the forecasting service. As a result of the work, experimental data were obtained showing that model based on neural networks and machine learning can forecast financial time series more accurate than classical autoregressive models. In practice, the obtained results can be applied in the field of risk management as well as in further research in the field of forecasting financial time series.