Application of the Hurst Exponent for the Stock Prices Forecasting in Investment Systems Management

Autor:	Natalia Sizykh, Dmitry Sizykh
Rok vydání:	2019
Předmět:	Hurst exponent Systems management Econometrics Economics Data reliability computer.software_genre computer Stock (geology)
Zdroj:	2019 Twelfth International Conference "Management of large-scale system development" (MLSD).
DOI:	10.1109/mlsd.2019.8910981
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::82865e8f7f72e0ea8f2d5b4cd0672c75 https://doi.org/10.1109/mlsd.2019.8910981 Zobrazit plný text záznamu