Samara State Technical University

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The Analysis of Stability of Prices Short Time Series Forecasting Based on Pattern Recognition

Number: 3 from 2014 year
Rubric: Mathematical Methods in Economics
UDC: 007, 336.76
Original article submitted: 20 July 2014
Revision submitted: 25 July 2014
Sarkisov Vigen G
Chihereva Tatyana V
prices time series, pattern, hash code, quality of the forecast, stability, optimization

The method of analogs is applied to forecast short time series of financial instruments prices. The dependence of the forecast quality on length of considered patterns is analyzed. Stability of investment decisions quality is investigated by optimization on various time ranges. Some criteria of the forecasting system quality taking into account the forecast accuracy are considered.

File: 2014-3-13-0018.pdf