A Method of Predicting Moments of Market Trend Reversal for Decision-Making Block of Computer-Based Intelligent Financial Agent-Avatar

Abstract

The chapter formalizes the financial task for the definitions and properties of financial indicators under study. A wide range of traditional approaches used for predicting economic time series were reviewed. Investigated as well were the advanced algorithms for predicting moments of reversals of market trends based on machine learning tools. The chapter discusses the effectiveness of different kinds of approaches, which is illustrated with related examples. Described is an original securities price dynamics trend classification algorithm, based on the use of the sliding window methodology and financial agents. General scheme of the classification algorithm to identify market phases is analyzed and results of computer modeling are presented. Selection of initial and resulting metrics is grounded.