Methods for building models of long-term prediction of financial time series

Authors

  • A. G. Zrazhevsky

Abstract

Methods for prediction of the financial time series with external conditions are developed. An algorithm of step-by-step construction of linear regression equations with different combinations of repressors is offered. The linear optimization problem is applied to meet the external conditions. The algorithm is used for long-term prediction of the time series according to the requirements of Ukrainian banks on juristic persons credits in 2007.

Author Biography

A. G. Zrazhevsky

Зражевський Олексій Григорович,

аспірант Навчально-наукового комплексу «Інститут прикладного системного аналізу» НТУУ «КПІ» МОН та НАН України, Київ

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Published

2010-03-29

Issue

No. 1 (2010)

Section

Mathematical methods, models, problems and technologies for complex systems research

License

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