S E M I N A R
 
of the Lithuanian Operational Research Society
 
October 23, 2001, 13:30 – 15:30
Vilnius, Saulėtekio 11, room L520
Kaunas, Studentų 48a-337
Klaipėda, H.Manto 84-218
Panevėžys, Klaipėdos 3-412
Šiauliai, P.Višinskio 25-316
 
Dear Sirs,
You are cordially invited to the Seminar of the Lithuanian Operations Research Society, held at October 23, 2001, 13:30-15:30, by means of the Distance Learning Network in Vilnius, Kaunas, Klaipėda, Panevėžys and Šiauliai
 
Programme
 
13:30- 14:30 Darius Plikynas (VU), Leonas Simanauskas (VU), Sigitas Būda (IMI)
National Stock Exchange indexes LITIN trend study with artificial neural network methods
 
The aim of this report is to inform about research, which was done by use of artificial neural networks [ANN] application for prognoses of Lithuania National Stock Exchange indexes LITIN, LITIN–A, LITIN–VVP. Analysis for entropy shows the level of accidentnest of the variations and correspondingly shows possibilities to find economic factors, which may influence Stock Exchange variations. Correlation analysis shows obvious interdependance between some Lithuania macroeconomic indicators, foreign exchange indexes and LITIN, LITIN–A, LITIN–VVP indexes. It helps to include such indicators in to the ANN autoregression, autoregression with cause and cause prediction models.  ANN learning is executed by weighted values of past period corresponding national indexes, by country’s macroeconomic indicators (like GNP, unemployment, inflation, interest rates and so on) and by other country’s Stock Exchange indexes (USA – Dow Jones and S&P, EU – Eurex, Russia – RTS). Application of optimization techniques by MATLAB for ANN learning is discussed, too. Results of prognoses are discussed for use in investment to Stock Exchange portfolio or investment fund.
 
14:30 – 15:30 LitORS actualities
 
Contacts:
Prof. Leonidas Sakalauskas                                                                                       
Vice-President of LitORS
Akademijos str. 4
Vilnius LT-08663
Tel.: +3702 209323
Fax.: +3702 729209
E-paštas: