Financial markets. Neural networks, chaos, and nonlinear dynamics

This book discusses the methods of constructing and training in neural networks, describes the most common types of networks used in the tasks of classification and analysis of time series. The use of networks to such calculations in the financial market as calculating the prices of European -type options, assessment of shares and management of international portfolio is considered. The fractal properties of the time series are shown, the dynamic models of determined chaos are set out. To reduce uncertainty, the use of optimal filtration algorithms and the solution of the problem of parametric identification in constructing the equations of the Chaos model were demonstrated. The possibilities of neural networks for predicting deterministic chaos are described. The application contains a set of training materials at the course "Financial markets and neural networks".
The manual is intended for students" Applied Mathematics and Informatics, "Applied Mathematics"," Applied Informatics", "Mathematical Methods in the Economics", Economic and Financial Specials of Universities. It will also be useful to a wide range of specialists of financial institutions using financial calculations in their work