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Razvoj in implementacija algoritmov za trgovanje s poudarkom na analizi časovnih vrst
ID Pajer, Ivo (Author), ID Čibej, Uroš (Mentor) More about this mentor... This link opens in a new window

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Abstract
V svetu trgovanja se vedno išče nove načine, kako bi pridobili prednost pred drugimi trgovalci. Trgovalci zaradi tega uporabljajo različne metode analize časovnih vrst ter strategij. S pomočjo analize časovnih vrst lahko napovemo vrednosti časovne vrste, kar nam lahko pomaga pri odločanju v trgovalni strategiji. V okviru te magistrske naloge smo za analizo časovnih vrst uporabljali grafe vidljivosti, kar je povezava med analizo časovnih vrst in analizo grafov. Predstavili smo že obstoječe in nove pristope k napovedi časovnih vrst. Nekateri pristopi so bili uspešnejši od obstoječih, nekateri pa ne. S pomočjo grafov vidljivosti smo tudi predstavili nekaj indikatorjev in strategij, ki te indikatorje uporabljajo za trgovanje. Strategije so bile relativno zelo uspešne v primerjavi s strategijo ''kupi in drži'' ter tudi po drugih metrikah, kot je na primer razmerje Sharpe. Ena izmed strategij je v primerjavi s stratagijo ''kupi in drži'' zaslužila približno 4-krat več, pri čemer pa je ohranjala tudi manjšo volatilnost ter boljše razmerje Sharpe, ki je znašal 0,8.

Language:Slovenian
Keywords:analiza časovnih vrst, algoritmično trgovanje, trgovalne strategije, graf vidljivosti
Work type:Master's thesis/paper
Typology:2.09 - Master's Thesis
Organization:FRI - Faculty of Computer and Information Science
Year:2024
PID:20.500.12556/RUL-164325 This link opens in a new window
COBISS.SI-ID:216315139 This link opens in a new window
Publication date in RUL:22.10.2024
Views:120
Downloads:29
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Secondary language

Language:English
Title:Development and implementation of trading algorithms focusing on time series analysis
Abstract:
In the world of trading, there is always a search for new ways to gain an edge over other traders. As a result, traders employ various methods of time series analysis and strategies. By analyzing time series, we can forecast the value of a time series, which can assist in decision-making within a trading strategy. In this master's thesis, we used visibility graphs for time series analysis, which is a connection between time series analysis and graph analysis. We presented both existing and new approaches to time series forecasting. Some approaches were more successful than the existing ones, while others were less so. With the help of visibility graphs, we also introduced several indicators and strategies that use these indicators for trading. The strategies were highly successful relative to the buy-and-hold strategy, as well as according to other metrics, such as the Sharpe ratio. One of the strategies earned approximately four times more compared to the buy-and-hold strategy, while also maintaining lower volatility and a better Sharpe ratio, which was 0.8.

Keywords:time series analysis, algorithmic trading, trading strategies, visibility graph

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