55445

Автор(ы): 

Автор(ов): 

2

Параметры публикации

Тип публикации: 

Доклад

Название: 

Application of the Hurst exponent for the stock prices forecasting in investment systems management

DOI: 

10.1109/MLSD.2019.8910981

Наименование конференции: 

  • 2019 12th International Conference "Management of Large-Scale System Development" (MLSD)

Наименование источника: 

  • Proceedings of the 12th International Conference "Management of Large-Scale System Development" (MLSD)

Город: 

  • Moscow

Издательство: 

  • IEEE

Год издания: 

2019

Страницы: 

https://ieeexplore.ieee.org/document/8910981
Аннотация
In the carried out research is confirmed that the application of the Hurst exponent in forecasting the time series of stock prices and stability of trend can improve forecasting results, but it is possible only in the short-term time period. The Hurst exponent can be used as an additional indicator (data risk in forecasting) and can improve forecast data reliability in the large-scale investment systems.

Библиографическая ссылка: 

Сизых Д.С., Сизых Н.В. Application of the Hurst exponent for the stock prices forecasting in investment systems management / Proceedings of the 12th International Conference "Management of Large-Scale System Development" (MLSD). Moscow: IEEE, 2019. С. https://ieeexplore.ieee.org/document/8910981.