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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Ilya Vakhrushev
Forecast of Trend Dynamics of Stock Market Using a Diffuse Index Based on Macroeconomic Parameters
Financial Engineering
(Master’s programme)
2018
The forecasting of the domestic stock market is an actual topic for a wide range of investors, macroeconomists and politicians. This problem has both theoretical interest and practical. On the one hand, it is essential to develop a forecasting tool, namely a diffuse index, with the help of which it is possible to predict the trend dynamics of the stock market. On the other hand, the practical side of forecasting is to create a trading strategy that would be successful in long-term investment strategies. Based on the analysis of the literature, it can be concluded that the diffuse index is successfully used by many foreign researchers as a forecasting tool. Moreover, this index is the development of the Russian RTS index. Having carried out a comparative analysis based on historical data (MICEX indices, change of its quotes and diffuse indicators, which were 84 variants), positive results were obtained. The proximity to the trends of the MICEX index formed instruments is more than 95%. The total profitability of the best diffuse index was 3.7% per annum on the test sample. This fact confirms the applied situation in forecasting the trend dynamics of the MICEX using diffuse.

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