Utjecaj recesije na pojedina tržišta dionica i posljedična optimizacija portfelja primjenom strojnog učenja

master's thesis

• Title (english): The impact of recession on stock markets and consequent portfolio optimization using machine learning
• Author: Franko Majdak
• Mentor: Mirjana Pejić Bach (mentor)
• Committee member: Dalia Suša Vugec (član povjerenstva)
• Committee member: Marijana Ivanov (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Informatics); Zagreb
• Defense date and country: 2023-09-27, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Finance

Abstract

Financijska tržišta su 2022. većini investitora predstavila jednu od najizazovnijih godina za sudjelovanje na tržištu. S&P 500 indeks je ostvario 6. najgori povrat u povijesti, a u zadnjih par godina, gospodarstvo SAD-a je prešlo iz ekstremnog ciklusa monetarne ekspanzije u monetarnu kontrakciju na razini Dot-com mjehura i recesije 2008. Trgovanje se odvijalo u razdoblju velike nesigurnosti, a najava recesije je bila redovita tema u javnom diskursu. Neki od vodećih ekonomskih pokazatelja su pali na rekordno niske razine, a tržište energenata i nekretnina su zahvaljujući cjenovnim šokovima dospjeli u centar pažnje promatrača i sudionika tržišta. Uz redovite šumove u informacijama i nevjerojatnu polariziranost tržišta, optimizaciju portfelja kao disciplinu kojom se upravlja investicijskom strategijom, ciljevima i rizikom je u tom razdoblju bilo izazovno provesti uspješno. U vremenu kada na financijskim tržištima koegzistiraju računalni algoritmi i ljudi čije se donošenje odluka može bitno razlikovati, teško je na predvidljiv i konzistentan način izdvojiti najbitnije tržišne signale i održavati portfolio koji će nadmašiti tržišno očekivanje. Korištenjem algoritma za trgovanje, cilj ovog rada je nadmašiti tržišna očekivanja uz investicijsku strategiju koja cilja ostvariti dobit, a ne minimizirati gubitak.

Abstract (english)

The financial markets in 2022 presented most market participants with one of the most challenging years during their investing lifetime. The S&P 500 index achieved the 6th lowest return in its history, and in the last few years the US economy has gone from an extreme quantitative expansion cycle to a monetary contraction comparable to the Dot-com bubble and the recession of 2008. Trading occurred during a period of great uncertainty, and recession announcements were regular topics in public discourse. Several leading economic indicators fell to record low levels and the energy and real estate markets came into the spotlight of observers and market participants due to significant price shocks. With regular noise in information and incredible market polarization, implementing portfolio optimization as a discipline to manage investment strategy, goals and risks proved challenging during that period. At a time when computer algorithms and human decision-makers whose choices can significantly diverge, coexist in the financial markets, it becomes difficult to predictably and consistently identify the most important market signals and maintain a portfolio that will exceed market expectations. Using a trading algorithm, the objective of this paper is to outperform market expectations through an investment strategy that aims to achieve profit rather than minimize loss.

• Keywords: recesija; upravljanje portfeljem; investiranje; algoritam za trgovanje
• Keywords (english): recession; portfolio management; investing; trading algorithm
• Language: croatian
• URN:NBN: urn:nbn:hr:148:092698
• Study programme: Title: Business Economics; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: sveučilišni magistar ekonomije/sveučilišna magistra ekonomije (sveučilišni magistar ekonomije/sveučilišna magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Access restricted to authenticated users
• Created on: 2023-10-11 19:52:00