Analysis and forecasting of self-similar financial time series

Домашня сторінка
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Фізико-технічні та математичні науки
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Відділення математики
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Theory of Stochastic Processes
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Theory of Stochastic Processes, 2006 (Volume 12 (28))
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Theory of Stochastic Processes, 2006, № 3-4
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Analysis and forecasting of self-similar financial time series

URI: http://dspace.nbuv.gov.ua/handle/123456789/4461

Посилання: Analysis and forecasting of self-similar financial time series / M. Moklyachuk, A. Zrazhevsky // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 114–122. — Бібліогр.: 10 назв.— англ.

Дата: 2006

Завантажень: 739

Analysis and forecasting of self-similar financial time series

Анотація:

Time series of prices of MSFT ticker are considered. Results on selfsimilarity of this time series are presented. A method of prediction from FARIMA model for long-range dependent time series is described. This method is used for prediction of MSFT time series of prices that exhibits long-range dependence with the Hurst parameter close to 1.

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