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|a Анализ и прогнозирование валютного и фондового рынков
|f Д. В. Паршин, К. А. Корчуганов
|g науч. рук. А. Ю. Трифонов
|d Analysis and forecasting of currency and stock markets
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| 203 |
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|a Текст
|c электронный
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| 215 |
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|a 1 файл(320 Кб)
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|a Математика
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|a Заглавие с экрана
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| 320 |
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|a [Библиогр.: с. 629 (7 назв.)]
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|a The aim of the project is to develop a universal model of markets and its variants, or develop a separate model for each market for a more accurate description. During the work in the project we’ve studied the BN-S methodology, which allows non-parametric framework for measuring the relative contribution of jumps in asset prices in the total variation (variance) of the process of pricing and classification days, within which there are no jumps or the price. According to statistical BN-S methodology defined currency pairs with a high level of arbitration, a program package MathCAD 14 program to perform the necessary calculations to estimate the number of jumps for each currency pair. Have been reviewed methods, strategies, and evaluation of portfolio management. Short-term forecasts were constructed using the Box-Jenkins models or ARMA (p, q) of the stock market of Russia, on the example of daily closing prices of shares of "Gazprom" evaluated the effectiveness of the model and its adequacy. Box-Jenkins method is based solely on an analysis of statistical data for the onedimensional time series is allowed to give only short-term forecast of the market.
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| 337 |
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|a Adobe Reader
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| 463 |
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|0 (RuTPU)RU\TPU\book\256864
|t Перспективы развития фундаментальных наук
|l Prospects of fundamental sciences development
|o сборник научных трудов IX Международной конференция студентов и молодых ученых, г. Томск, 24-27 апреля 2012 г.
|f Национальный исследовательский Томский политехнический университет (ТПУ) ; ред. коллегия Е. А. Вайтулевич ; Г. А. Лямина ; Г. А. Воронова ; М. П. Никитич ; А. М. Лидер ; Ю. Р. Цой ; М. Е. Семенов
|v [С. 628-629]
|d 2012
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| 510 |
1 |
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|a Analysis and forecasting of currency and stock markets
|z eng
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| 610 |
1 |
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|a электронный ресурс
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| 610 |
1 |
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|a труды учёных ТПУ
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| 610 |
1 |
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|a анализ
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| 610 |
1 |
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|a прогнозирование
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| 610 |
1 |
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|a валютный рынок
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| 610 |
1 |
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|a фондовый рынок
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| 700 |
|
1 |
|a Паршин
|b Д. В.
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| 701 |
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1 |
|a Корчуганов
|b К. А.
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| 702 |
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1 |
|a Трифонов
|b А. Ю.
|c российский физик, математик
|c профессор Томского политехнического университета, доктор физико-математических наук
|f 1963-
|g Андрей Юрьевич
|4 727
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| 801 |
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|a RU
|b 63413507
|c 20101016
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| 801 |
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2 |
|a RU
|b 63413507
|c 20131017
|g RCR
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| 856 |
4 |
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|u http://www.lib.tpu.ru/fulltext/c/2012/C21/211.pdf
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| 942 |
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|c CF
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