Analysis and forecasting of self-similar financial time series
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 de...
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| Datum: | 2006 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут математики НАН України
2006
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| Online Zugang: | http://dspace.nbuv.gov.ua/handle/123456789/4461 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | 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. |
Institution
Digital Library of Periodicals of National Academy of Sciences of Ukraine| Zusammenfassung: | 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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