Factor Analysis of Russian Liquid Stocks Market

Student: Akhmadulin Sergey

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2019

The summary. To final qualification work on a subject: «Factor Analysis Of Russian Liquid Stocks Market». Work includes: 38 pages, 29 schedules, 4 appendices, 12 used sources Keywords: principal component analysis, fractality index, time series, recurrent neural networks. Object of research – analysis and attempt of forecasting of a position sign for the investor by forming factors based on a principal component method and an fractality index of a time series of the assets in Moscow exchange index. The work purpose – to develop a model that forecasts a position sign for the investor with principal component method and fractality index, as factors in model such, as recurrent neural network (LSTM).

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