Forecasting non-linear non-stationary processes in economics and finances

Authors

  • Bohdan M. Popovych Educational and Scientific Complex "Institute for Applied System Analysis" of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv, Ukraine https://orcid.org/0000-0002-1869-1407

DOI:

https://doi.org/10.20535/SRIT.2308-8893.2017.4.04

Keywords:

Decision support system, nonlinear processes, nonstationary processes, heteroscedastic processes, autoregressive model of the moving average

Abstract

A decision-making support system for research and construction of mathematical models describing processes in economics and finance has been developed; for estimation of forecasts for performing computational experiments. An information analytical system for modeling and forecasting processes in economy and finance based on regression models with a moving average has been created. The results of forecasting prices for selected assets are presented with the help of both the developed software product and the existing products for statistical data processing. For the analysis of the results, the quality criteria for estimating the constructed models and the quality of the estimates of the forecasts were used. The software was designed and developed to implement the tasks. The analysis, modeling and forecasting of gold prices, shares of "Ukrnafta" and "Motor Sich" companies were carried out.

Author Biography

Bohdan M. Popovych, Educational and Scientific Complex "Institute for Applied System Analysis" of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv

Bohdan Mykolayovych Popovych,

a student at Educational and Scientific Complex "Institute for Applied System Analysis" of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv, Ukraine.

References

Bidjuk P.I. Analiz i modelirovanie ekonomicheskih protsessov perehodnogo perioda / P.I. Bidjuk, O.V. Polovtsev. — K.: NTU "KPI", 1999. — 230 s.

Bidjuk P.I. Ekonometricheskij analiz vremennyh rjadov: konspekt lektsij / P.I. Bidjuk. — K.: NTUU "KPI", 2007. — 250 s.

Bidjuk P.I. Sistema podderzhki prinjatija reshenij dlja prognozirovanija nestatsionarnyh protsessov / P.I. Bidjuk, E.O. Demkivs'kij // Nauchnye raboty Nikolaev. gos. tehnich. un-ta. — 2008. — Vyp. 77. — S. 137–159.

Bidjuk P.I. Proektirovanie komp'juternyh informatsionnyh sistem podderzhki prinjatija reshenij: ucheb. posobie / P.I. Bidjuk, L.O.Korshevnjuk. — K.: NNK "IPSA" NTUU "KPI", 2010. — 340 s.

Hosmer David W. Applied logistic regression / David W. Hosmer. Jr. Stanley Lemeshow. — Hoboken: John Wiley & Sons Ltd., 2008. — 396 p.

Bidjuk P.I. Vremennye rjady: modelirovanie i prognozirovanie / P.I. Bidjuk, O.I. Savenkov, I.V. Baklan. — K.: EKMO, 2003. — 141 s.

Eksponentsial'nyj trend i ego svojstva. — Rezhim dostupa: http://um.co.ua/9/9-15/9-158069.html

Downloads

Published

2017-12-15

Issue

No. 4 (2017)

Section

Decision making and control in economic, technical, ecological and social systems

License

This is an open access journal which means that all content is freely available without charge to the user or his/her institution. Users are allowed to read, download, copy, distribute, print, search, or link to the full texts of the articles in this journal without asking prior permission from the publisher or the author. This is in accordance with the BOAI definition of open access.