Matematický model obchodnej stratégie pre trh s elektrinou
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Abstract
Článok sa venuje tvorbe obchodnej stratégie pre trh s elektrinou. Vytvorenie stratégie bolo vykonané na báze genetických algoritmov. Vstupom do procesu tvorby stratégie boli technické indikátory RSI a %W. Celkovo bolo vytvorených 1200 stratégií. Po vytvorení boli stratégie otestované na testoch robustnosti – celkovo tri testy robustnosti, test zamiešania obchodov, test vynechania obchodov a test zmeny parametrov. Týmito testami prešli iba dve stratégie z celkového počtu 1200.Jedna z nich bola vybraná ako finálna podoba obchodnej stratégie pre trh s elektrinou.
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Power System Control, Liberalisation of Electricity Market
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