Artificial Intelligence System for Predicting the Price of the SIU8 Basic Asset of the SI-9.18 Option in the “Long Straddle” Strategy

The features of the “long straddle” option strategy for the Si-9.18 option that was chosen as an object of the research on the Moscow MOEX stock exchange have been investigated. The underlying asset of the Si-9.18 option is a futures SiU8 contract for the US dollar on a 15-min timeframe. The theoretical foundations of option pricing using the Cox-Ross-Rubinstein model have been considered. Based on the Russian Deductor platform, the Kohonen map neural network has been developed to obtain a forecast for the price of the option base asset. There has been suggested and proven a hypothesis that the neural network makes it possible to obtain a price forecast for the SiU8 base asset of a synthetic option in the “long straddle” strategy. Since this option strategy is aimed at making a profit from an intensive movement and increase in volatility, the use of the developed artificial intelligence system based on the “long straddle” strategy will reduce risks and ensure its hedging.