Analysis and forecasting of self-similar financial time series

• Date: 2006
• Main Authors: Moklyachuk, M., Zrazhevsky, A.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2006
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/4461
• 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.

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...