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1. ..6
1.1 FOREX 6
1.2 13
1.3 .....16
1.4 ...18

2.

23
2.1

23
2.1.1
...23
2.1.2 ....26
2.1.3 -SSA...28
2.2
...32
2.2.1 .32
2.2.2 ...38

3.

....45
3.1 45
3.1.1 USDCHF
...45
3.1.2 USDCHF -SSA..56
3.2 . 65
3.2.1 USDCHF
NeuroSolution.66

3.2.2 USDCHF
NeuroShell70
3.2.3
NeuroShell Classifier92
...96
..98

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2.

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24

ACF .

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(ACF) (PACF).
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( ):
2

Dickey, D. A and W. A. Fuller, Distributions of the estimators for autoregressive time series with a union root ,
Journal of American Statistical Association, 75 (1979), 427-431

27

( L) y t = + ( L) t ,

( L) = 1 1 L ... p L p

( L) = 1 1 L ... q Lq -

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(autoregressive moving average) ARMA(p,q).

AR(1), AR(2), MA(1), MA(2), ARMA(1,1).


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Engle, R. F. and C. W. J. Granger, Co-integration and error correction representation, estimation and testing
Econometrica, 55 (1987),455-461

28

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ARMA(p,q)

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2.1.3 -SSA

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2.2

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3.1
3.1.1 USDCHF

CHFUSD 1 2009 28 2010 .
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, ,
(Date, Time, Open, High, Low, Close, Volume). (20091201, 1500,
1.0002, 1.0020, 0.9990, 1.0010, 5535) , 1 2009 15:00
15:59 1.0002 1.001, 1.0020
0.999 1 . 1610 .

46


Eviews 4.0, 4.

.
, Open Close ,
, High
Low ,

. Volume ,
, , ,
.
, FOREX.
High Low
.
.
.
, (unit root test),
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High, Low Volume .
High. High ,
( 60 ).
( 3.1.1.1):
HIGH
1,1
1,08
1,06
1,04
1,02
1
0,98
0,96
0,94
1

131 261 391 521 651 781 911 1041 1171 1301 1431 1561

3.1.1.1. USDCHF
4

, . . . .-. -,
2005.863

47

,
,
. ,
89% .

( 3.1.1.2):

3.1.1.2.
( ACF
PACF)
(random walk). ,
.
High, ,
High .
, , ,
, .
Int_High High.

3.1.1.3),

48

3.1.1.3
(white noise),

. ,
, , .
( 3.1.1.4)
:

3.1.1.4
.
, .
, High , I(1),
, .
Int_High, High. , ,
.

49

High. Int_high
- , ,
, ,

.
High (random walk),
yt = y t 1 + t . ,
Eviews, ( 3.1.1.5):
Dependent Variable: HIGH
Method: Least Squares
Date: 04/25/10 Time: 21:35
Sample(adjusted): 2 1610
Included observations: 1610 after adjusting endpoints
Variable

Coefficient

Std. Error

t-Statistic

Prob.

0.003324

0.002132

1.6255650

0.1042

HIGH(-1)

0.996812

0.001699

571.8872

0.0000

R-squared

0.995478

Mean dependent var

1.170577

Adjusted R-squared

0.995475

S.D. dependent var

0.022779

S.E. of regression

0.001632

Akaike info criterion

-10.00765

Sum squared resid

0.004039

Schwarz criterion

-9.999696

Log likelihood

7672.160

F-statistic

327880.3

Durbin-Watson stat

1.963451

Prob(F-statistic)

0.000000

3.1.1.5
, 0.997,
1 .
10% ( t). ,
R 2 , .
R 2 99,5% - .
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, .
.

50

, High

. High
.
.
5

(John Muth, 1960)

X t +1 . , X

X t = X t 1 + u t lu t 1 , ut -
,
, X t +1 , X * t +1 ,
X * t +1 = (1 l )( X t + lX t 1 + l 2 X t 2 + ...) .
, X t ,
, X * t +1
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, High ,
,
. , ,
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Low. High, Low
60 . High,
.
. Volume.
Volume. Volume ,
. ( 3.1.1.6):

, . . . .-. -,
2005.863

51

3.1.1.6
Volume.
( 24 ).
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Volume( 3.1.1.8).

10000

8000

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4:00

0:00

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3.1.1.7

6
7
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3.1.1.8


High Low .
2010 .
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52

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3.1.1.9
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53

, ,
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( 3.1.1.10).

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(ACF),
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6, Volume ,

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AR(1) ,
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6

... . , : , 2005

54

: VOLUME = 3401.948108 +
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. High
Low

Volat 2 = ( High Low)(Open Close) ).

Volat

Volat2

( Volat = High Low

.
, ( 3.1.1.11).
Dependent Variable: VOLAT
Method: Least Squares
Date: 05/10/10 Time: 15:52
Sample(adjusted): 7502 11458 IF T>7500
Included observations: 3957 after adjusting endpoints
Convergence achieved after 15 iterations
Backcast: 7501
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
VOLUME
INT_HIGH
AR(1)
MA(1)

2.811843
0.005641
0.281778
0.831481
-0.527336

0.491608
9.68E-05
0.009110
0.016762
0.026045

5.719690
58.25305
30.93129
49.60451
-20.24715

0.0000
0.0000
0.0000
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.635537
0.635168
8.354407
275834.2
-14012.11
1.889726

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

21.42987
13.83150
7.084718
7.092658
1722.838
0.000000

3.1.1.11

56

,
, ,
Volume Int_High.
High, 20,8%. ,
, , .
, ,
. ,
, .

.

3.1.2 USDCHF -SSA


,
-SSA, CaterpillarSSA.

. ( 3.3),
, , ,
, ,
.
CHFUSD .
, CaterpillarSSA,
3 . ,
, -
. Open, ,
( 3.1.2.1):

57

3.1.2.1
, ,
Open, High, Low, Close, ,

. , SSA .

:
1. .

.
2. (Decomposition)

.
3. (Grouping)

. ,
.
4. (Reconstruction) ,

. .
5. (Approximation) .

58

6. (Forecasting) .

, .
, , 1565 .
, . ,
L=N/2, 782.

,
, . , ,
, ,
, ,
.
782, 60
(
) (
3.1.2.2).

3.1.2.2

59

20 ,
,
. ,
( 1).
,
.
, . ,
3 . ,
.

3.1.2.3
( 3.1.2.3)
3 .
, .
,
.
, ,
,
.

60


. CaterpillarSSA
: .
3.1.2.4 (),

() .

3.1.2.4
, (
) .
,
. , ,
,
, ,
, ,
.
,
. ,
,
. 120 ,
.

61

Forecasting, CaterpillarSSA
: . ,
.
120
. ,
, , .
. SSA
,
5 (1.09). ,
: (
3.1.2.5 3.1.2.6) , .

3.1.2.5

3.1.2.6
, ,
, 120 .
, ,
.
-SSA ,
,

62

.
, ,
.
( 3.1.2.7 3.1.2.8) ,

, .

3.1.2.7

3.1.2.8

. 27
,
27 . 3.1.2.9,
,
,
, .

63

3.1.2.9

.

SSA

.
3.1.2.10 3.1.2.11.
14 .

3.1.2.10

3.1.2.11

64

, .
,
. ,
, .
,
, .

3.1.2.12
3.1.2.12,
.
, , ,
.
-SSA
Volat Volat2, .
, ,
,
.

65

3.2 . .
.
.
CHFUSD .
,
.
.
(EMH effective market
hypothesis) .

, (
, )
, . ,
.
EMH- ,
. , EMH
,
, , , .
.

. ,
.
,
.

. ,
, .

, .

, , ,
, .
( )
, , ,

66

. 7
. , , ,
, , GBPUSD 1.5000.

3.2.1 USDCHF
NeuroSolution.
NeuroSolutions.
, NeuroSolutions
,
, . NeuroSolutions (
4.0) .
,
, , , NeuroShell.
CHFUSD .
(multilayer
perceptron), 18020 .

, ,
USDCHF ( 3.2.1.1), .

3.2.1.1
7

. . . .: " "", 2005 376

67


, (
) ,
. FOREX ,
,
. Volume
.
. ,
.
Open Volume, High, Low
Close.

,
. , ,
, , High Low , .

Open,
High(-1), Low(-1), Close(-1), Volume(-1). CV (cross validation)
10% , 5%.
CV .

,
. ,
,
, .

. ,
:

3.2.1.2
, , 10
( 3.2.1.3),
.

68

CHFUSD001

4-32-12-1

0,007607

CHFUSD002

4-24-10-1

0,008300

CHFUSD003

4-48-24-1

0,023870

CHFUSD004

4-24-32-1

0,00791

CHFUSD005

4-10-5-1

0,096310

CHFUSD006

4-10-24-1

0,009661

CHFUSD007

4-12-32-1

0,016280

CHFUSD008

4-20-10-1

0,018240

CHFUSD009

4-20-20-1

0,024220

CHFUSD010

4-32-48-1

0,008256

3.2.1.3

4-24-32-1 ( 24 ,
32 ). ,
, ,
. 0,001765,
18 . .
3.2.1.2 , . y
, 10000,
. .

11000
10900
10800
10700
10600

DES O
OUT O

10500
10400
10300
10200
10100
1

301

601

901

1201

3.2.1.4

69

Des O Desired Open ( ), Out O ,


.
. -, ,
. -,
, . , ,
( )
.
Des O Out O.
78%, .
, ,
, . 1200
604 , 592 (
). 560 624
. ,
92%.
(
). Volat Volat2,
3, Volume.
10% . Volat2
, Volat .
8,083, 6 .
27 ,
. ( )
3.2.1.5
180
160
140
120
100

DES O

80

OUT O

60
40
20
0
1

301

601

901

1201

3.2.1.5

70


.
. ,
.
,
.
Candle = Open-Close. , -
. 9.6
16 ,
49%.

NeuroSolutions
.
( ),
.
.
, R2.
NeuroShell.

3.2.2 USDCHF
NeuroShell.

NeuroShell Day Trader Pro 3.8.
Metastock, FX-CLUB.
Metastock NeuroShell,


.
NeuroShell Day Trader . -,
,


. -,
,

71

. -, NeuroShell
.
NeuroShell Day Trader ,

.
,
, .
NeuroShell Day Trader .

,
, .
,
. ,
NeuroShell Day Trader ,

.
NeuroShell Day Trader 80
2010 .
. ,
, ,
.
,
. , ,
, ,
, . ,
.
.
,
. ,
, . ,
. ,
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.
.

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72

, .
. Metastock
Maximum Profit System (MPS).
, .

. ,
, .
MPS

. , ,

. ,
, .
MPS,
.
-, ,
.
( 100 )

. . ,
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.
1 2008 3
2010 . 24 :
1. (High-Low) 111 .

91 ,
.
2. ,
542 .
3. , 4

.
,
CHFUSD 90-110 . ,

, .
100 .

73

, , ,
. ,
() Maximum Profit Pattern (MPP). MPP
, ,
. MPP , , :

0,8

0,2


MPP ,

, 100 ,
.
, ,
, ,
, , .

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c .
x1, x2, ..., xn,
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74

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, .

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75

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:


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.

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.

0 1 ( 0 100),
.

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.

.

:

Williams' %R;

Dynamic Momentum Index;

Price ROC;

Chande Momentum Oscillator;

Chaikin A/D Oscillator;

CCI-Standard;

Forecast Oscillator;

Swing Index;

76

Stochastic Oscillator;

Relative Momentum Index;

Binary Wave Composite (as trend);

MACD (as trend).

, NeuroShell Day Trader


:

Average Crossover Above

Average Crossover Below

Acceleration

Stochastic %D

Stochastic %K

Negative Volume Index

Positive Volume Index

Accumulation Dist

DMI

Volume Price Trend

MFI

% Change

CCI

MACD

RSI

Linear Time Regression Slope

Lag(Linear Time Regression Slope)

High Channel Breakout

Low Channel Breakout

Volume Momentum.
,
, ,
. , Average Crossover Above/Below
, .
NeuroShell

. , ,
.

77

, . , ..
(RWI random walk index),
.
.
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RWI =

pt ( N , )
pt N

pt ( N , ) - N . - ,

, N .
(
RWI>1), ( RWI<1).

.. RWI
. ,
, .
, ,
, , Open, High, Low, Close
.

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,
0,5. RWI
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.

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( High Low)(Close Open)


| average _ of _ numerator |

78

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(
(High - Low) (Close - Open)).
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.
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.
,
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( ,
), .
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.
,
.
,
.

79

. ,
100, 5
125, 5 85. ,
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125 , 125 . ,
, 40 , 85,
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.
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.
,

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.
1,
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,

80

: ,
0.6, , -0,6.
4. .

,
NeuroShell Day Trader
.
, ,
.
,
, . -,

. -, ,
,
.
,
. NeuroShell Day Trader
, :
, (Profit Objectives), ,
(Error Objectives) .

, ,
. ,
,
. ,


,
.

, ,
,
.

,
.

81



(Maximize #Winners - #Losers).

(Maximize Net Profit),


(Maximize Return on Account) .

(Minimize Error), (Maximize Correlation),


, .
.
CHFUSD 27
2009 4 2010 . ,

,
. ( 3.2.2.1).

3.2.2.1

: (9 ) (3 ).
, 270 ,
92 (
, , ,

82

). , ,
( , FOREX,
). ,

. ,
, .
,
,
. ,
, .

.
CHFUSD 2,6%.

(Change in Open)
. ,
.
1 .
: open, high, low, close, volume.
10 , .
,
(Maximize return on Account).
, ,
.
3.2.2.2.

83

3.2.2.2
(30.01.2010 30.04.2010)
5,5% ( 20,7%),
42 , 26 .
, 1,6%,
3 ,
. 3.2.2.3.

3.2.2.3

84

, .

, .
, ,

.
,
, (Genetic Algorithms GA),
. High,
Low, Close 30,69%, 39,75% 29,56% .

, ,
High, Low Close, .
,
. ( 3.2.2.4).

3.2.2.4
6,0%
, 46 , 29
. 63%,
.

85

,

, .

0,00459, 46 .
Low, Open Volume.
3.2.2.5.

3.2.2.5
,
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46 (Average Error , ). -

,
, . % Correct Sign
, , .
59,34%, 9,34% ,
.
.
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100 ,
12 ( 1,2000).
,
.
0,00459, 0,433. ,
46 ,

86

0,43% , 46
( 1,09). ,
, ,
.
, ,
.
,
.
, .
,
. , NeuroShell ,
,
.
(Change in Open) 1 ,
Adaptive Moving Average, ADX, Average
Negative/Positive Momentum, CCI, DMI, Hammer, MACD, MACD Signal, Momentum,
Negative/Positive Volume Index, RSI, Average Crossover Above/Below, Simple Stochastic %D,
Simple Stochastic %K, Stochastic %K, Stochastic %D, Williams %R, Stochastic Crossover
Above/Below.

,
. -, ,
, -
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.
,
, 0,00503,
50 .
50%. ,
% Correct Signal .
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87

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. .
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100 ,
, , 60,
-60.
20 -20 .

, ,
,
.

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. 5 , 3 .
, ,
.
.

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, ,
(
).
.

4 , 2 ,
3,7% 2,8%,

88

: I, Bollinger Bands, MACD, Momentum, RSI.


3.2.2.6.

3.2.2.6

.
, Negative Positive Volume Index
6,2% 4 4. ,
2,8%. Maximize Return on Account
,
.

.
,
.
, ,
.
,
, .

// (Optimal Buy/Sell/Hold Based on Open). ,
,

. , , ,

89

8. ,
.
, ,
. , ,
.
, .

.

( 3.2.2.7).

3.2.2.7
, ,
1, -1. ,
8

. : .

: , 2004 304 .

90

, .
,
( 100% ),
.
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,
.
,
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.
, 3,5%,
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,
.
,

91

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.
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.
.
.
. ,
, .
, ,
.
.
,
.

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, .
,
, ,
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92


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3 , .
, ,
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.
23 38,
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,
.
, .
.
20 , 15 .
9 , 8 .
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NeuroShell Classifier,
NeuroShell. NeuroShell Classifier
(),
() .
:

, ,
.

93

, (
)
( ), ,

NeuroShell

Classifier

:
.

,
. ,
, ,
.
CHFUSD,
NeuroShell Day Trader.

(PP), (PD), (P), (D),


(NS). , , ,
, .
( 3.2.3.1) ,

. (,
, , ).

3.2.3.1
524 , : 44
, 42 , 181 , 164

94

, 93 ( ). ,
, , , ,
PP PD, P D.
( 3.2.3.2).
1,5

0,5

0
1

43 85 127 169 211 253 295 337 379 421 463 505

-0,5

-1

-1,5

3.2.3.2
,
. ,
,
.
, (Open, High, Low, Close)
, Volume,
(
).
,
, 17 (3 , 4 , 3
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). NeuroShell Classifier
. ,
, 30%,
. ,

. ,
: P PP, D PD.

95

: 225 PD, 206 PP 93 NS.


. 100 ( ;
) .
68%
. 49 PP 35, 45 PD
33 ( 3.2.3.3).
.

3.2.3.3
, NS,
6. .
,
. , 80 90%
,
. , 68%
, ,
.

96



,
, . ,
,
,
, .

: ( ,
-SSA) ( ).

USDCHF
.
USDCHF
,

(-SSA) .

.
.

.
.

.

USDCHF . , ,

NeuroSolution,

CHFUSD.
,

.

.

97


. ,

.
(
).

//

, 3 .

, ,

.
, ,
70% . ,
,
.
, ,
, , .
.

. ,
, (
) .
.

98


1. . ., . , .,

, . 1998.
2. . ., . :

: 2001-100 c., .
3. , . . .

.-. -, 2005.863
4. . ., : . .:

, 1993 96 .: .
5. . .: " "", 2002 168 .
6. . .: " "", 2002 272 .
7. .-., .-., . :

. - : , 1997. - 236 .
8. . ., . 2. .: " "", 2005 237

.
9. . ., . ., . ., . .,

, . .:
, 1997. 112 .
10. . ., -SSA: ; .

. .,2004. 76 .
11. . ., . .,

. 2, .: 2005.
12. . - . - .: , 1997.
13. .., ..

( - . .
.. ). .: , 1998. 224 .
14. . . .

: . . .; 1999. 335 . .
15. .. . - .:
, 1997. - 368 .
16. . .: . . .:

- 2001. .: .
17. . : , . . -

.- 364 .

99

18. .. . - , -

, 1983.
19. . ., :

. . 1999 . 234 .; .
20. ... . , : , 2005
21.

..,

..

. - .: -, 1995. - 176 .
22. . : . . /

. . .: . , 1980 408 . .
23. . :

. : , 2004 304 .
24. .. = Foreign Exchange and
Money Market Operations: . - 3- ., . . - .: ,
1998. - 256 .
25. . ., . .

, 2004. 272.
26. . / . . .. - .: -,
1999. - 416 .
27.

..,

.:

.-

, 1998. 296 .
28. . . . .: " "", 2005 376 .
29. . ., . :

/ . . . . . - : , ,
1999. - 527 .
30. . . . .: , 2001.
768
31. . / . . . , .

. - .: -, 1996. - 336 .
32. . . .: , 1996.
33. . , , .

. - http://www.osp.ru/os/1997/04/index.htm.
34. ., ., .

http://www.osp.ru/os/1997/04/index.htm.

100

35. .. . -

http://www.user.cityline.ru/~neurnews/primer/finance.htm.
36. ..

. - http://www.osp.ru/os/1997/04/index.htm.
37. . . - http://www.osp.ru/os/1997/04/index.htm.
38. .

. - http://www.orc.ru/~stasson/fann.zip.
39. .

. - http://www.orc.ru/~stasson/index.htm.
40. . : . -

http://www.orc.ru/~stasson/n1.zip.
41. . : . -

http://www.orc.ru/~stasson/n2.zip.
42. . : . -

http://www.orc.ru/~stasson/n3.zip.
43.

http://www.orc.ru/~stasson/n4.zip.
44.

http://www.tribunes.com/tribune/art97/peru1.htm.
45. . . . -

http://nuweb.jinr.ru/~nazaren/unc/nn_ru.html.
46. . , iNFUSED BYTES OnLine. -

http://www.enlight.ru/ib/tech/neural/index.htm.
47. . - . -

http://www.basegroup.ryazan.ru/tech/neural-4.htm.
48. . . -

http://www.basegroup.ryazan.ru/tech/neural3.htm.
49. . ? -

http://www.neuroproject.ru/papers.htm.
50. .. .

http://www.computerra.ru/dav/
51. .. . -

http://www.computerra.ru/2000/4/.
52. .. :

. - www.com2com.ru~dav/practika2.htm.

101

53.

(FAQ)

http://www.utica.kaman.com/techs/neural/neural.html.
54. Ward Systems Group, .
NeuroShell Day Trader - http://www.neuroproject.ru/DayTrader.htm.
55. Ward Systems Group, .
NeuroShell Predictor- http://www.neuroproject.ru/Predictor.htm.
56. Ward Systems Group, . NeuroShell Trader
Professional. - http://www.neuroproject.ru/T_optim.htm.
57. Ward Systems Group, .

. - http://www.neuroproject.ru/oglavl.htm.
58. Dickey, D.A. and S.G. Pantula, Determining the Order of Differencing in
Autoregressive Processes, Journal of Business and Economic Statistics, 5 (1987), 455-461
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time series with a union root , Journal of American Statistical Association, 75 (1979), 427-431
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102

103