Vestnik of Astrakhan State Technical University. Series: Management, Computer Sciences and Informatics
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Vestn. Astrakhan State Technical Univ. Ser. Management, Computer Sciences and Informatics:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Vestnik of Astrakhan State Technical University. Series: Management, Computer Sciences and Informatics, 2010, Number 1, Pages 19–22 (Mi vagtu151)  
SOCIAL AND ECONOMIC SYSTEMS MANAGEMENT

Methods of analysis of the financial markets volatility

N. V. Demich, O. V. Demich

Astrakhan State Technical University
Full-text PDF (114 kB)
References:
PDF
HTML
Abstract: The models and methods based on the analysis of volatility of time series in various time intervals are considered. It is shown, that application of wavelet methodology and hidden Markov model is a perspective direction for research and forecasting of dynamics of the financial markets. The advantage of use of the large-scale wavelet analysis of time series is resulted.
Keywords: volatility, wavelet, hidden Markov model, trader.
Received: 18.11.2009
Document Type: Article
UDC: 681.3
Language: Russian
Citation: N. V. Demich, O. V. Demich, “Methods of analysis of the financial markets volatility”, Vestn. Astrakhan State Technical Univ. Ser. Management, Computer Sciences and Informatics, 2010, no. 1, 19–22
Citation in format AMSBIB
\Bibitem{DemDem10}
\by N.~V.~Demich, O.~V.~Demich
\paper Methods of analysis of the financial markets volatility
\jour Vestn. Astrakhan State Technical Univ. Ser. Management, Computer Sciences and Informatics
\yr 2010
\issue 1
\pages 19--22
\mathnet{http://mi.mathnet.ru/vagtu151}
Linking options:
  • https://www.mathnet.ru/eng/vagtu151
  • https://www.mathnet.ru/eng/vagtu/y2010/i1/p19
    • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Вестник Астраханского государственного технического университета. Серия: Управление, вычислительная техника и информатика
    Statistics & downloads:
    Abstract page:194
    Full-text PDF :115
    References:29
    First page:1
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024