Forecasting And Stock Market Critical Points Analysis Using Modified Local Holder Exponents

Standard

Forecasting And Stock Market Critical Points Analysis Using Modified Local Holder Exponents. / Kurganov, D. V. ; Kuperin, Yu. A. ; Dmitrieva, L. A. ; Chernykh , G. A. ; Heut, A. .

в: European Proceedings of Social and Behavioural Sciences EpSBS, Том 103, 08.03.2021, стр. 560-569.

Результаты исследований: Научные публикации в периодических изданиях › статья в журнале по материалам конференции

Author

Kurganov, D. V. ; Kuperin, Yu. A. ; Dmitrieva, L. A. ; Chernykh , G. A. ; Heut, A. . / Forecasting And Stock Market Critical Points Analysis Using Modified Local Holder Exponents. в: European Proceedings of Social and Behavioural Sciences EpSBS. 2021 ; Том 103. стр. 560-569.

BibTeX

@article{e058a01d187d4b37bda381a91245ccfd,

title = "Forecasting And Stock Market Critical Points Analysis Using Modified Local Holder Exponents",

abstract = "The article is devoted to a new indicator for forecasting critical points of financial time series based on modified H{\"o}lder indicators. The indicator was developed to predict large movements of financial instruments in the stock market. The analysis of the indicator's performance was conducted on the US and Russian stock markets using time series with a minute sampling frequency. It is shown that this indicator is able to predict large movements of financial time series with good enough statistics. The corresponding calculations, tables and statistics are presented. The paper shows that the developed predictor on average in 80% of cases in the US market and on average in 60% of cases on the Russian market correctly predicts large movements in the market. These results were obtained by statistical processing of all predictions of critical points in the markets of the USA and Russia. Also, a significant difference was found between the parameters of the developed indicator for the US and Russian markets.",

keywords = "forecasting, time series, H{\"o}lder indicators, local H{\"o}lder exponents",

author = "Kurganov, {D. V.} and Kuperin, {Yu. A.} and Dmitrieva, {L. A.} and Chernykh, {G. A.} and A. Heut",

year = "2021",

month = mar,

day = "8",

doi = "10.15405/epsbs.2021.03.71",

language = "English",

volume = "103",

pages = "560--569",

journal = "The European Proceedings of Social & Behavioural Sciences",

issn = "2357-1330",

publisher = "Future Academy",

note = "International Conference on Finance, Entrepreneurship and Technologies In Digital Economy, FETDE 2020 ; Conference date: 18-06-2020 Through 19-06-2020",

}

RIS

TY - JOUR

T1 - Forecasting And Stock Market Critical Points Analysis Using Modified Local Holder Exponents

AU - Kurganov, D. V.

AU - Kuperin, Yu. A.

AU - Dmitrieva, L. A.

AU - Chernykh , G. A.

AU - Heut, A.

PY - 2021/3/8

Y1 - 2021/3/8

N2 - The article is devoted to a new indicator for forecasting critical points of financial time series based on modified Hölder indicators. The indicator was developed to predict large movements of financial instruments in the stock market. The analysis of the indicator's performance was conducted on the US and Russian stock markets using time series with a minute sampling frequency. It is shown that this indicator is able to predict large movements of financial time series with good enough statistics. The corresponding calculations, tables and statistics are presented. The paper shows that the developed predictor on average in 80% of cases in the US market and on average in 60% of cases on the Russian market correctly predicts large movements in the market. These results were obtained by statistical processing of all predictions of critical points in the markets of the USA and Russia. Also, a significant difference was found between the parameters of the developed indicator for the US and Russian markets.

AB - The article is devoted to a new indicator for forecasting critical points of financial time series based on modified Hölder indicators. The indicator was developed to predict large movements of financial instruments in the stock market. The analysis of the indicator's performance was conducted on the US and Russian stock markets using time series with a minute sampling frequency. It is shown that this indicator is able to predict large movements of financial time series with good enough statistics. The corresponding calculations, tables and statistics are presented. The paper shows that the developed predictor on average in 80% of cases in the US market and on average in 60% of cases on the Russian market correctly predicts large movements in the market. These results were obtained by statistical processing of all predictions of critical points in the markets of the USA and Russia. Also, a significant difference was found between the parameters of the developed indicator for the US and Russian markets.

KW - forecasting

KW - time series

KW - Hölder indicators

KW - local Hölder exponents

UR - https://www.europeanproceedings.com/proceedings/EpSBS/volumes/vol103-fetde-2020

UR - https://www.mendeley.com/catalogue/81592e90-c388-37e5-8682-a255e3670e94/

U2 - 10.15405/epsbs.2021.03.71

DO - 10.15405/epsbs.2021.03.71

M3 - Conference article

VL - 103

SP - 560

EP - 569

JO - The European Proceedings of Social & Behavioural Sciences

JF - The European Proceedings of Social & Behavioural Sciences

SN - 2357-1330

T2 - International Conference on Finance, Entrepreneurship and Technologies In Digital Economy

Y2 - 18 June 2020 through 19 June 2020

ER -

ID: 86644531