Adaptive forecasting and financial risk estimation

Authors

  • Valery Ya. Danilov 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/0000-0003-3389-3661
  • O. P. Gozhyj Petro Mohyla Black Sea National University, Mykolayiv, Ukraine https://orcid.org/0000-0002-3517-580X
  • I. O. Kalinina Petro Mohyla Black Sea National University, Mykolayiv, Ukraine https://orcid.org/0000-0001-8359-2045
  • Andrii O. Belas 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/0000-0001-7883-2489
  • Petro I. Bidyuk 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/0000-0002-7421-3565
  • O. L. Jirov 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/0000-0002-2917-4093

DOI:

https://doi.org/10.20535/SRIT.2308-8893.2020.1.04

Keywords:

economic and financial processes, adaptive modeling, forecasting nonlinear nonstationary processes, uncertainties, system analysis, decision support system

Abstract

The study is directed towards development of an adaptive decision support system for modeling and forecasting nonlinear nonstationary processes in economy, finances and other areas of human activities. The structure and parameter adaptation procedures for the regression and probabilistic models are proposed as well as the respective information system architecture and functional layout are developed. The system development is based on the system analysis principles such as adaptive model structure estimation, optimization of model parameter estimation procedures, identification and taking into consideration of possible uncertainties met in the process of data processing and mathematical model development. The uncertainties are inherent to data collecting, model constructing and forecasting procedures and play a role of negative influence factors to the information system computational procedures. Reduction of their influence is favourable for enhancing the quality of intermediate and final results of computations. The illustrative examples of practical application of the system developed proving the system functionality are provided.

Author Biographies

Valery Ya. Danilov, Educational and Scientific Complex "Institute for Applied System Analysis" of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv

Valery Yakovych Danilov,

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

O. P. Gozhyj, Petro Mohyla Black Sea National University, Mykolayiv

Olexandr Petrovych Gozhyj,

Dr. of Eng. Sci., a professor at Petro Mohyla Black Sea National University, Mykolayiv, Ukraine.

I. O. Kalinina, Petro Mohyla Black Sea National University, Mykolayiv

Iryna Oleksandrivna Kalinina,

Cand. of Eng. Sci. (Ph.D.), an associate professor at Petro Mohyla Black Sea National University, Mykolayiv, Ukraine.

Andrii O. Belas, Educational and Scientific Complex "Institute for Applied System Analysis" of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv

Andrii Olehovych Belas,

a Ph.D. 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.

Petro I. Bidyuk, Educational and Scientific Complex "Institute for Applied System Analysis" of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv

Petro Bidyuk,

Dr. of Eng. Sci., a professor at the Department of the Mathematical Methods of System Analysis of Educational and Scientific Complex "Institute for Applied System Analysis" of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv, Ukraine.

O. L. Jirov, Educational and Scientific Complex "Institute for Applied System Analysis" of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv

Olexandr Leonidovych Zhyrov,

Cand. of Eng. Sci. (Ph.D.), an associate professor at Educational and Scientific Complex "Institute for Applied System Analysis" of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv, Ukraine.

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Published

2020-06-23

Issue

No. 1 (2020)

Section

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

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