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...
Saved in:
| Date: | 2006 |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2006
|
| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/4461 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| 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. |