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Exploring Russian Stock Market and Using ML Technologies for Forecasting Time Series and Portfolio Optimization

Student: Tigran Shakhkian

Supervisor: Ivan Stankevich

Faculty: Faculty of Computer Science

Educational Programme: Financial Technology and Data Analysis (Master)

Year of Graduation: 2020

Stock market plays an essential role in our modern world economy, because only thanks to it capital can be distributed properly. It allows money to flow to fields which demand it more than others and can use it more efficiently to create value for humanity. Nowadays, Russian market is developing rapidly and is an extremely interesting field for research. Stock price prediction is quite an important task in the financial world, as it plays a major role in the economic development in the world, country and corporate level. Moreover, it contributes to the development of effective strategies for stock exchange transactions and, thereby, presents a keen interest for investors. In order to solve the mentioned issue, various machine learning technologies are widely used. In this paper, we analyzed the Russian stock market and through different ML-technologies predicted the movement of daily prices of the chosen stocks. Furthermore, we used the estimated results in investment portfolio optimization with the purpose of financial risk minimization.

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