Decision support system for forecasting financial processes on the basis of system analysis principles




financial processes, uncertainty, system analysis, adaptation, forecasting


A concept is proposed for solving the problem of adaptive forecasting that is based on the system analysis methodology and combined use of preliminary data processing techniques, mathematical and statistical modeling, forecasting and optimal state estimation of the processes under study. The cyclical adaptation of a structure and model parameters on the basis of a set of statistical characteristics of a process under study provides a possibility for reaching high quality estimates of forecasts under condition that data is informative. To identify and take into consideration possible stochastic, structural and parametric uncertainties it is proposed to use optimal and digital filtering and data mining methods such as Bayesian networks, adaptive BN, particle filter and other instruments. Possible parametric uncertainties are minimized with application of several alternative parameter estimation techniques such as LS, RLS, ML and Markov chains Monte Carlo sampling. The conducted study suggests that the proposed methodology can be applied to the analysis of a wide class of real life processes including nonlinear nonstationary processes in finances, economy, ecology and demography.

Author Biographies

Valery Ya. Danylov, The Department of mathematical methods of system analysis of ESC "IASA" NTUU "Igor Sikorsky KPI", Kyiv

Danilov Valery,

Doctor of Engineering Sciences, professor at the Department of mathematical methods of system analysis of ESC "IASA" NTUU "Igor Sikorsky KPI", Kyiv

Vira H. Huskova, ESC "IASA" NTUU "Igor Sikorsky KPI", Kyiv

Vira Gennadyivna Huskova,

a Ph.D. student at ESC "IASA" NTUU "Igor Sikorsky KPI", Kyiv, Ukraine.

Petro I. Bidyuk, ESC "IASA" NTUU "Igor Sikorsky KPI", Kyiv

Petro Bidyuk,

Dr. of Eng. Sci., a professor at the Department of mathematical methods of system analysis of ESC "IASA" NTUU "Igor Sikorsky KPI", Kyiv, Ukraine.

Oleksandr L. Jirov, ESC "IASA" NTUU "Igor Sikorsky KPI", Kyiv

Oleksandr Jirov,

Candidate of Eng. Sci. (Ph.D.), an assistant professor at the Department of mathematical methods of system analysis of ESC "IASA" NTUU "Igor Sikorsky KPI", Kyiv, Ukraine.


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Theoretical and applied problems and methods of system analysis