Analysis and forecasting of self-similar financial time series

dc.contributor.author	Moklyachuk, M.
dc.contributor.author	Zrazhevsky, A.
dc.date.accessioned	2009-11-11T15:23:06Z
dc.date.available	2009-11-11T15:23:06Z
dc.date.issued	2006
dc.identifier.citation	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.	en_US
dc.identifier.issn	0321-3900
dc.identifier.uri	http://dspace.nbuv.gov.ua/handle/123456789/4461
dc.description.abstract	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.	en_US
dc.language.iso	en	en_US
dc.publisher	Інститут математики НАН України	en_US
dc.title	Analysis and forecasting of self-similar financial time series	en_US
dc.type	Article	en_US
dc.status	published earlier	en_US