Application of one-dimension STS-distribution for modelling magnitudes of stock indexes; Bulletin of the Tomsk Polytechnic University; Vol. 310, № 1
| Parent link: | Bulletin of the Tomsk Polytechnic University/ Tomsk Polytechnic University (TPU).— , 2006-2007 Vol. 310, № 1.— 2007.— [P. 42-47] |
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| Zusammenfassung: | Заглавие с титульного листа Электронная версия печатной публикации Modified method STS-GARCH(1,1) has been considered. Modification consisted in rejection of the statement on normal low of logarithm distribution of time series day increment and in their application for the description of Smoothly Truncated a-Stable (STS)-distribution (smoothly abridged a-stable). The method parameters were found by the technique of maximum likelihood. Statistic investigation of the suggested algorithm accuracy was carried out and decrease of autocorrelation in data structure used for the analysis was shown. The method was used to predict share prices of lag 5. |
| Sprache: | Englisch |
| Veröffentlicht: |
2007
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| Schriftenreihe: | Mathematics and mechanics. Physics |
| Schlagworte: | |
| Online-Zugang: | http://www.lib.tpu.ru/fulltext/v/Bulletin_TPU/2007/v310eng/i1/09.pdf |
| Format: | Elektronisch Buchkapitel |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=180602 |
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| 200 | 1 | |a Application of one-dimension STS-distribution for modelling magnitudes of stock indexes |f О. А. Belsner, О. L. Kritskiy | |
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| 225 | 1 | |a Mathematics and mechanics. Physics | |
| 300 | |a Заглавие с титульного листа | ||
| 300 | |a Электронная версия печатной публикации | ||
| 320 | |a [Bibliography: p. 47 (17 titles)] | ||
| 330 | |a Modified method STS-GARCH(1,1) has been considered. Modification consisted in rejection of the statement on normal low of logarithm distribution of time series day increment and in their application for the description of Smoothly Truncated a-Stable (STS)-distribution (smoothly abridged a-stable). The method parameters were found by the technique of maximum likelihood. Statistic investigation of the suggested algorithm accuracy was carried out and decrease of autocorrelation in data structure used for the analysis was shown. The method was used to predict share prices of lag 5. | ||
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| 461 | 1 | |0 (RuTPU)RU\TPU\book\169973 |t Bulletin of the Tomsk Polytechnic University |f Tomsk Polytechnic University (TPU) |d 2006-2007 | |
| 463 | 1 | |0 (RuTPU)RU\TPU\book\195457 |t Vol. 310, № 1 |v [P. 42-47] |d 2007 |p 201 p. | |
| 610 | 1 | |a one-dimension distribution | |
| 610 | 1 | |a modelling | |
| 610 | 1 | |a magnitudes | |
| 610 | 1 | |a stock indexes | |
| 610 | 1 | |a modified method | |
| 610 | 1 | |a modification | |
| 610 | 1 | |a low distribution | |
| 610 | 1 | |a logarithm | |
| 610 | 1 | |a day increments | |
| 610 | 1 | |a parameters | |
| 610 | 1 | |a technique of maximum likelihood | |
| 610 | 1 | |a statistic investigation | |
| 610 | 1 | |a algorithm | |
| 610 | 1 | |a autocorrelation | |
| 610 | 1 | |a data | |
| 610 | 1 | |a prices | |
| 610 | 1 | |a lags | |
| 610 | 1 | |a электронный ресурс | |
| 610 | 1 | |a труды учёных ТПУ | |
| 675 | |a 330.43 |v 3 | ||
| 700 | 1 | |a Belsner |b O. A. |c Mathematician |c Senior Lecturer of Tomsk Polytechnic University |f 1983- |g Olga Alexandrovna |3 (RuTPU)RU\TPU\pers\44599 |9 21821 | |
| 701 | 1 | |a Kritski |b O. L. |c mathematician |c Associate Professor of Tomsk Polytechnic University, Candidate of physical and mathematical sciences |f 1976- |g Oleg Leonidovich |3 (RuTPU)RU\TPU\pers\31888 |9 15960 | |
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