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  • Constructing the System of Predictive Analysis of Bank's Investments Using Technologies Supercomputer Modeling

Constructing the System of Predictive Analysis of Bank's Investments Using Technologies Supercomputer Modeling

Student: Kurmanova Karina

Supervisor: Alexander V. Belov

Faculty: HSE Tikhonov Moscow Institute of Electronics and Mathematics (MIEM HSE)

Educational Programme: Supercomputer Modeling in Science and Engineering (Master)

Final Grade: 8

Year of Graduation: 2020

The purpose of this graduation thesis is constructing the System of Predictive Analysis of Bank's Investments Using Technologies Supercomputer Modeling. First of all, it is necessary to solve the problem for predicting the behavior of the value of a security in the future. Bank investments will be evaluated using two forecasting models: Monte Carlo (MMC) and neural networks. Using the historical data of the Goldman Sachs security on the stock market, computer modeling of the data of forecast models was carried out. Computer simulation displayed that if Bank is using algorithmic trading, it is preferable to use MMC. The stock market price growth rate varies every millisecond. Calculation methods for parallel programming, it is possible to reduce decision-making time by increasing the speed of forecasting using MMС.

Full text (added May 20, 2020)

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