Registration Number
0222U003772,
0120U100969
, R & D reports
Title
Simulation of financial process volatility
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Head
Demkivska Tetyana , Доктор технічних наук
Registration Date
30-05-2022
Organization
Kyiv National University of Technologies and Design
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Object of research - statistical (experimental) data that characterize the dynamics of the studied processes. The purpose of the work is to develop an information-analytical system for forecasting nonlinear nonstationary processes and to compare the effectiveness of methods for modeling and forecasting nonlinear nonstationary processes Research methods - statistical analysis of data, methods for estimating the structure and parameters of mathematical models and methods for estimating forecasts. Research results - the architecture and functional scheme of the information-analytical system are proposed. Models for forecasting time series are built. Based on the analysis of statistical characteristics of the constructed models, the models that can be used for forecasting are selected. Scientific novelty of GDR - the possibility of applying a systematic approach to the construction of information-analytical system for forecasting non-stationary processes based on autoregressive models of different orders is shown. The sequence of operations in the construction of models of this type is given. The models built as a result of this study provide a qualitative short-term forecast. Field of application - forecasting of financial and financial-economic processes. Significance of work and conclusions - the proposed methodology provides a model of acceptable adequacy, provided the completeness and informativeness of statistical data presented in time series. The developed information-analytical system proved the high accuracy of the obtained results. In the future, with the help of this information-analytical system, you can study other processes and make predictions about them.
Product Description
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Demkivska Tetiana I.
Kalashnyk Valerii Yu
Melnyk Hennadii V
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2022-05-30
