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&#x...
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| Дата: | 2006 |
|---|---|
| Автори: | , |
| Формат: | Стаття |
| Мова: | Англійська |
| Опубліковано: |
Інститут математики НАН України
2006
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| Онлайн доступ: | https://nasplib.isofts.kiev.ua/handle/123456789/4461 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | 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. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862630155491475456 |
|---|---|
| author | Moklyachuk, M. Zrazhevsky, A. |
| author_facet | Moklyachuk, M. Zrazhevsky, A. |
| citation_txt | 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. |
| collection | DSpace DC |
| 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.
|
| first_indexed | 2025-11-30T10:26:02Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4461 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-11-30T10:26:02Z |
| publishDate | 2006 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Moklyachuk, M. Zrazhevsky, A. 2009-11-11T15:23:06Z 2009-11-11T15:23:06Z 2006 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 https://nasplib.isofts.kiev.ua/handle/123456789/4461 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 Інститут математики НАН України Analysis and forecasting of self-similar financial time series Article published earlier |
| spellingShingle | Analysis and forecasting of self-similar financial time series Moklyachuk, M. Zrazhevsky, A. |
| title | Analysis and forecasting of self-similar financial time series |
| title_full | Analysis and forecasting of self-similar financial time series |
| title_fullStr | Analysis and forecasting of self-similar financial time series |
| title_full_unstemmed | Analysis and forecasting of self-similar financial time series |
| title_short | Analysis and forecasting of self-similar financial time series |
| title_sort | analysis and forecasting of self-similar financial time series |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4461 |
| work_keys_str_mv | AT moklyachukm analysisandforecastingofselfsimilarfinancialtimeseries AT zrazhevskya analysisandforecastingofselfsimilarfinancialtimeseries |