The system of predictive analysis of Bank investments using technologies of supercomputer simulation

The article discusses an approach to building a system for generating a bank investment prediction with the technology of parallel computing. We develop a predictive model of the price of securities for the banking business on the stock market. For predictive analysis of investments, the choice of a...

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Bibliographic Details
Published inJournal of physics. Conference series Vol. 1740; no. 1; pp. 12060 - 12065
Main Authors Belov, A V, Kurmanova, K A
Format Journal Article
LanguageEnglish
Published Bristol IOP Publishing 01.01.2021
Subjects
Algorithms
Computer simulation
Investments
Mathematical models
Model testing
Monte Carlo simulation
Parallel programming
Physics
Prediction models
Predictions
Pricing
Securities markets
Securities prices
Supercomputers
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Summary:The article discusses an approach to building a system for generating a bank investment prediction with the technology of parallel computing. We develop a predictive model of the price of securities for the banking business on the stock market. For predictive analysis of investments, the choice of a mathematical model was justified using the Monte Carlo method. Computer simulation was carried out to form a forecast of securities prices based on historical data on securities of Goldman Sachs. Estimates of the execution time of the forecasting algorithm by the parallel programming method are obtained. The conclusion is made about the applicability of the proposed model when using the method of algorithmic trading in the stock market. The technical requirements for the development of a predictive analytics system for the Bank's investment portfolio are formulated.
ISSN:1742-6588
1742-6596
DOI:10.1088/1742-6596/1740/1/012060