Адаптивне прогнозування та оцінювання фінансових ризиків

• Дата: 2020
• Автори: Danilov, Valery Ya., Gozhyj, O. P., Kalinina, I. O., Belas, Andrii O., Bidyuk, Petro I., Jirov, O. L.
• Формат: Стаття
• Мова: English
• Опубліковано: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2020
• Теми: економічні та фінансові процеси; адаптивне моделювання; прогнозування нелінійних нестаціонарних процесів; невизначеності; системний аналіз; система підтримки прийняття рішень; экономические и финансовые процессы; адаптивное моделирование; прогнозирование нелинейных нестационарных процессов; неопределенности; системный анализ; система поддержки принятия решений; economic and financial processes; adaptive modeling; forecasting nonlinear nonstationary processes; uncertainties; system analysis; decision support system
• Онлайн доступ: http://journal.iasa.kpi.ua/article/view/209133
• Назва журналу: System research and information technologies

The study is directed towards development of an adaptive decision support system for modeling and forecasting nonlinear nonstationary processes in economy, finances and other areas of human activities. The structure and parameter adaptation procedures for the regression and probabilistic models are proposed as well as the respective information system architecture and functional layout are developed. The system development is based on the system analysis principles such as adaptive model structure estimation, optimization of model parameter estimation procedures, identification and taking into consideration of possible uncertainties met in the process of data processing and mathematical model development. The uncertainties are inherent to data collecting, model constructing and forecasting procedures and play a role of negative influence factors to the information system computational procedures. Reduction of their influence is favourable for enhancing the quality of intermediate and final results of computations. The illustrative examples of practical application of the system developed proving the system functionality are provided.