Диссертация (Формирование портфеля акций на фондовом рынке с использованием непараметрических методов), страница 19

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Прогнозный период 2008 годАкцияAeroflotAkronDiksyFSK EASGazpromInter RAOLSRLukoilMagnitMechelMMKMosenergoMTSM-videoNLMKNMTPNorNikNOVATEKPIKPolusRosneftRossetiRostelRusGidroSberbankянв.1610001-1-1110001100-11-1010-1-10Нейронные сетиапр.16 июл.16-111-100-1-1-1-10000011-1000000-1-1-10-1-10000-11-1-101000001-1-1-10окт.16-100-100001-110010-1-1-10-110-100Метод ядерного сглаживанияянв.16 апр.16 июл.16 окт.161-11-1-100001-1-1-10-1-10001-1000-10000-1-1101-11-100-1-100-10-1-1101-1-11-101-1001-1000-1000011-10-1000-11-110-1000-10101-100001-1-1-1141Деревья классификацийянв.16 апр.16 июл.16 окт.161-11-101-101000-1-1-101-1-10000-1-10-10-11010001000-1-1-1-11-100010-111-10100-1-100-1-11-11-1-1100-1-100001-101-1100001-11-10-10000-1-1Sev StalSistemaSurgutTatneftUralkaliyVSMPO AvismoVTB0-1-100-100110-11-1-11000010-100-100010010-110-1-1-1-1-1100-1-1-101000-1-1101-1-1-100000-1-10-10-10000-1-1-1-10000142Приложение 2Полный перечень переменных, использованный для отбора оптимального вектора переменных для каждогометодаПеременнаяТипПеременнаяТипЦена нефтиМакроэкономическаяDebt RatioФундаментальнаяИнфляцияМакроэкономическаяFinancial LeverageФундаментальнаяROEФундаментальнаяROAФундаментальнаяEPS/PФундаментальнаяNet Profit MarginФундаментальная∆EPS/PФундаментальнаяBook Value per ShareФундаментальнаяMomentum (T = 30)ТехническаяBook Value per Share/PriceФундаментальнаяMomentum (T = 90)ТехническаяFCFEФундаментальнаяMomentum (T = 180)Техническая∆FCFEФундаментальнаяMomentum (T = 360)ТехническаяFCFFФундаментальнаяMA/P (T=40)Техническая∆FCFFФундаментальнаяMA/P (T=80)ТехническаяMACD (T=30)ТехническаяMA/P (T=120)ТехническаяMACD (T=90)ТехническаяMA/P (T=240)ТехническаяMACD (T=180)ТехническаяMA/P (T=360)ТехническаяMACD (T=360)ТехническаяBollinger Bands (T = 30)ТехническаяStochastic (T = 30)ТехническаяBollinger Bands (T = 90)ТехническаяStochastic (T = 90)ТехническаяBollinger Bands (T = 180)ТехническаяStochastic (T = 180)ТехническаяBollinger Bands (T = 360)ТехническаяStochastic (T = 360)ТехническаяMA St.