Asset Allocation Using Decomposition of Stock Price Dynamics

Student: Melnik Anton

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2021

This paper is devoted to the application of the Singular Spectrum Analysis method, which is also commonly called the decomposition method. The dynamics of the shares prices traded on the stock exchange are time series in which we can distinguish the various components, the forecasting of which using the algorithm will allow to estimate future value, as well as to build a trading strategy. This algorithm was chosen due to relatively poor knowledge, as well as a few publications that would consider practical application on real data.

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