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Information × Registration Number 0214U006249, 0113U001300 , R & D reports Title The use of modern mathematical methods and information technologies for research of financial markets popup.stage_title Head Oleksandr Piskun, Registration Date 26-02-2014 Organization The University of banking of the National bank of Ukraine (Kyiv) popup.description2 The study object - currency and stock markets. The Purpose of work - development of the new techniques for analyzing the processes occurring in the financial markets on the basis of methodological set of the nonlinear dynamics theory. Research methods - the modern theory of financial markets, econophysics modeling, interdisciplinary approach, system analysis, recurrence quantitative analysis, financial and investment management. Scientific novelty: - the theory and methods of recurrence analysis were considered. The optimal values of the input parameters and corresponding measures of the financial time series analysis in order to build a market monitoring tool were estimated; -a study of the foreign exchange market FOREX using the classical method of correlation analysis and cross-recurrence analysis was conducted. The relationship levels of the major currency pairs dynamics were determined. It is shown that cross-recurrence analysis gives more accurate results while studying the financial time series; -the method of recurrence quantification analysis (RQA) was applied for the study of the foreign exchange market crisis. Three types of crises and regularity of their development were revealed; -analysis of major currency pairs by means of RQA method was performed that helped to distinguish the time characteristics of the crisis 2007 - 2010. The suitability of the RQA method for the foreign exchange market monitoring was determined; -the instruments of tracking changes in the stock market based on recurrence quantification analysis were proposed; -optimal methods for the data sets pre-treatment for the stock market monitoring system were chosen; -it was proposed to make a use of the DEA method while analyzing the effectiveness of the banking activity; -identification of the exchange rate regime based on the currency market stochastic equilibrium model was offered. Product Description popup.authors Міщенко Тетяна Григорівна Новак Сергій Миколайович Піскун Олександр Варфоломійович Хайлук Світлана Олексіївна popup.nrat_date 2020-04-02 Close