Yu. N. Orlov, S. L. Fedorov, V. A. Davidko, “To the classification of non-stationary time series: RTS index composition”, Keldysh Institute preprints, 2014, 054, 18 pp.

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Preprints of the Keldysh Institute of Applied Mathematics, 2014, 054, 18 pp. (Mi ipmp1906)

This article is cited in 1 scientific paper (total in 1 paper)

To the classification of non-stationary time series: RTS index composition

Yu. N. Orlov, S. L. Fedorov, V. A. Davidko

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Abstract: The classification of a set of time-series with respect to non-stationary index is carried out for RTS instruments. The variation of sampling distribution function is analyzed. The closed prices for 50 RTS instruments are examined. For each of them the non-stationary index, depending on sample length, is calculated.

Keywords: non-stationary time series, RTS index, self-consistent stationary level, non-stationary index.

Document Type: Preprint

Language: Russian

Citation: Yu. N. Orlov, S. L. Fedorov, V. A. Davidko, “To the classification of non-stationary time series: RTS index composition”, Keldysh Institute preprints, 2014, 054, 18 pp.

Citation in format AMSBIB

\Bibitem{OrlFedDav14}

\by Yu.~N.~Orlov, S.~L.~Fedorov, V.~A.~Davidko

\paper To the classification of non-stationary time series: RTS index composition

\jour Keldysh Institute preprints

\yr 2014

\papernumber 054

\totalpages 18

\mathnet{http://mi.mathnet.ru/ipmp1906}

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https://www.mathnet.ru/eng/ipmp/y2014/p54

This publication is cited in the following 1 articles:

Citing articles in Google Scholar: Russian citations, English citations
Related articles in Google Scholar: Russian articles, English articles

Препринты Института прикладной математики им. М. В. Келдыша РАН

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Full-text PDF :	168
References:	67

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