Robotic process automation for investment modelling
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F19%3A39914993" target="_blank" >RIV/00216275:25410/19:39914993 - isvavai.cz</a>
Result on the web
<a href="https://is.muni.cz/do/econ/sborniky/2019/Proceedings_final.pdf" target="_blank" >https://is.muni.cz/do/econ/sborniky/2019/Proceedings_final.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Robotic process automation for investment modelling
Original language description
The developments in data science, machine learning and artificial intelligence force us to revisit the question “What should be automated and what should be done by humans?” The main objective of our contribution is to apply Robotic Process Automation (RPA) to create a model which identifies risk situations on the model based on the market prices and external data such as M2 Money Stock, Consumer Confidence Index (CCI), Daily Treasury Yield Curve etc., and recommend a proportion of assets in the portfolio. Our goal is to build a model that will beat its benchmark, the S&P 500 index, for that purpose we create a portfolio composed of individual stock titles contained in the S&P 500 index and compare the model rate of return with the real rate of the S&P 500 for the period from 1.1. 2004 to 1.1. 2019. As a result we can show that the cumulative yield of the model beats its benchmark approx. 7 times during the period under review.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
European Financial Systems 2019 : Proceedings of the 16th International Scientific Conference
ISBN
978-80-210-9337-9
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
126-132
Publisher name
Masarykova univerzita
Place of publication
Brno
Event location
Brno
Event date
Jun 24, 2019
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000503222600014