Analysis and forecasting of self-similar financial time series
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Analysis and forecasting of self-similar financial time series
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| Creator |
Moklyachuk, M.
Zrazhevsky, A. |
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| Description |
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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| Date |
2009-11-11T15:23:06Z
2009-11-11T15:23:06Z 2006 |
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| Type |
Article
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| Identifier |
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.
0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4461 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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