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Methods to predict the dynamics of stock index
Material posted: -Publication date: 30-09-2009

As applied to Russian conditions, traditional methods of forecasting the dynamics of the stock market — fundamental and technical analysis can not be applied in full. Fundamental analysis that require knowledge of real values of all the main financial indicators of the companies-issuers, in the Russian context is difficult to apply because of the lack of reliable information.

Technical analysis (Elliott wave) is a tool, a positive quality which can be realized only in the developed market economies. In the Russian monopoly and lack of competition in many important areas of the economy, the use of technical analysis methods is not always justified.

In this regard, relevant is the development of additional methods of analysis, research and forecasting of dynamics of the Russian stock market, which, complementing the techniques of fundamental and technical analysis will allow to obtain more accurate predictions.

It seems that at present you can develop the following 4 groups of methods:

  1. Method of determining moment (date) the sharp downturns of the stock market index based on the psychophysical characteristics of human behavior (brokers);
  2. Methods of determining the degree of overheating of the market, based on the use of 4-or 5-factor models of dependence of exchange index values from the price of the underlying commodities (oil Urals, gas, gold, $);
  3. Methods short-term forecasting of dynamics of stock exchange index based on the analysis of event methods of pairwise comparisons;
  4. Methods of predicting the price of a particular stock (including the shares that determine the RTS) based on processing of retrospective forecasts of analysts of party organizations and the establishment of the weights (significances) of each expert.

The most simple to implement is the 1st group of methods (Appendix 1).

For other methods, the merits of which are discussed more fully in Annex 2, it is advisable to establish special software (each of these methods assumes the solution of the optimization problem) with the current layout of the software tool, which can easily be run by anyone. For each working model will require not less than 1.5 man*months of work without distraction on performance of operational tasks.

Subsequently, if these methods prove their worth, they can be combined in one software tool.


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