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Predicting the riskiness of investing in oil company stocks using artificial neural networks

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This article considers the problem of forecasting stock prices using the example of the largest oil companies in Russia (Rosneft, Lukoil, Gazpromneft and Surgutneftegaz) using artificial neural networks, and also analyzes the profitability of an investment portfolio formed from ordinary shares of the four largest oil companies in Russia in equal shares and with optimal their value determined in the course of solving the direct problem according to the G. Markowitz model using predictive values.

1. Gubina A.A., Atazhanova L.D., Sagitova N.S., Rakhmatullina Yu.A., Farkhieva S.A. Analysis of factors affecting the value of shares of energy companies, Sibirskaya finansovaya shkola, 2021, no. 2(142), pp. 91–94. (In Russ.)

2. Ayuev V.V., Belov Yu.S., Loginov B.M., Loginova M.B. Neirosetevoe modelirovanie v NeuroSolutions. [Neural network modeling in NeuroSolutions], Kaluga: Izdatel'stvo MGTU im. N.E. Baumana, 2015, 324 p.

3. Beloliptsev I.I., Gorbatkov S.A., Romanov A.N., Farkhieva S.A. Modelirovanie upravlencheskikh reshenii v sfere ekonomiki v usloviyakh neopredelennosti [Modeling of management decisions in the field of economics under conditions of uncertainty], Moscow: INFRA-M, 2019, 299 p.

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6. Nazarova E.V., Zhdanova O.A. Investment portfolio formation and optimization models, Uchenye zapiski Rossiiskoi Akademii predprinimatel'stva, 2017, vol. 16, no. 1, pp. 111–117. (In Russ.)

7. Nazarova V.V., Levichev I.P. Development of a model for improving the efficiency of investment portfolio management, Ekonomicheskii zhurnal Vysshei shkoly ekonomiki, 2017, vol. 21, no. 3, pp. 451–481. (In Russ.)

8. Ivanyuk V.A., Abdikeev N.M. Managing market assets in a crisis, Upravlencheskie nauki, 2018, vol. 8, no. 1, pp. 72–81. (In Russ.)

9. Yarosh A.A., Rakhmatullina Yu.A. The mechanism of formation of the optimal investment portfolio of securities according to the Markovitz model on the example of shares of the largest oil companies of the Russian Federation, Sibirskaya finansovaya shkola, 2021, no. 1 (141), pp. 43–47. (In Russ.)