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JOURNALS // Problemy Upravleniya // Archive

Probl. Upr., 2013 Issue 6, Pages 48–52 (Mi pu821)

Control in the socio-economic systems

Increasing of foreign exchange hedging effectiveness based on results of neurostructural prediction

P. V. Saraeva, Yu. E. Syaglovab

a Lipetsk State Technical University
b Lipetsk

Abstract: The paper gives the analysis of effectiveness of using results of time series neurostructural prediction (exchange rates) in hedging of currency risks using derivative financial instruments. Description of the developed software is given. The technique of computation of effectiveness of use of neurostructural predictions is considered. Results of computational experiments are provided.

Keywords: neurostructural modeling, time series prediction, foreign exchange hedging.

UDC: 004.8



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