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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| Date: | 2006 |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2006
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| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/4461 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | 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. |
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Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
nasplib_isofts_kiev_ua-123456789-4461 |
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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 |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| title |
Analysis and forecasting of self-similar financial time series |
| spellingShingle |
Analysis and forecasting of self-similar financial time series Moklyachuk, M. Zrazhevsky, A. |
| title_short |
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_sort |
analysis and forecasting of self-similar financial time series |
| author |
Moklyachuk, M. Zrazhevsky, A. |
| author_facet |
Moklyachuk, M. Zrazhevsky, A. |
| publishDate |
2006 |
| language |
English |
| publisher |
Інститут математики НАН України |
| format |
Article |
| 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.
|
| issn |
0321-3900 |
| url |
https://nasplib.isofts.kiev.ua/handle/123456789/4461 |
| 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. |
| work_keys_str_mv |
AT moklyachukm analysisandforecastingofselfsimilarfinancialtimeseries AT zrazhevskya analysisandforecastingofselfsimilarfinancialtimeseries |
| first_indexed |
2025-11-30T10:26:02Z |
| last_indexed |
2025-11-30T10:26:02Z |
| _version_ |
1850857312244203520 |