Naslov
Grey Systems Modeling as a Tool for Stock Price Prediction

Autori
Škrinjarić, Tihana ; Šego, Boško

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the The 15th International Symposium on Operational Research / Zadnik-Stirn, Lidija ; Kljajić-Borštnar, Mirjana, Žerovnik, Janez ; Drobne, Samo ; Povh, Janez - Bled, 2019, 429-434

ISBN
978-961-6165-55-6

Skup
15th International Symposium on Operations Research in Slovenia (SOR '19)

Mjesto i datum
Bled, Slovenija, 25.09.2019. - 27.09.2019

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Grey model (1, 1), stock price prediction, Grey Systems, stock exchange, forecasting

Sažetak
This paper observes Grey models (GM) of modelling and forecasting stock prices on the Zagreb Stock Exchange. Grey models belong to the Grey Systems Theory, which focuses on uncertain sets, events and decision-making. Since the Grey methodology is relatively unknown in applications in Europe, the purpose of the paper is to give a concise overview of Grey models as one part of it. The other purpose was to evaluate empirically if Grey models could be a useful tool in stock price prediction. Based upon daily data for the period 2 January – 12 June 2019, the GM (1, 1) and (2, 1) are estimated and compared to usual approaches of forecasting: average, moving average and ARMA models. Out of sample results show that the GM (1, 1) model has the best forecasting ability. Thus, the potential exists in further implementing this methodology in portfolio selection.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA