| Title |
Trumpų finansinių laiko eilučių algebrinių dėstinių parametrų analizė / |
| Translation of Title |
Parameter analysis of short term financial time series algebraic sequences. |
| Authors |
Popovas, Andrius |
| Full Text |
|
| Pages |
90 |
| Keywords [eng] |
financial time series ; Forecasting ; Algebraic skeleton. |
| Abstract [eng] |
Parameter analysis for algebraic sequences in forecasting problem is considered in this paper. Research is for relatively new algebraic skeleton model proposed in article [1]. Research targets are to find optimal method for selection of model parameters and evaluation of model behavior in financial time series forecasting for two financial weeks. Methodology for optimal parameter selection was designed during research. Additionally found that model is not dependent on forecasting horizon and its errors has normal distribution with zero average. Model was fitted to financial time series and forecasting of USD/RUB was done. Moreover model was integrated in ARIMAX model as exogenous variable forecasting method. |
| Dissertation Institution |
Kauno technologijos universitetas. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2017 |
