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Application of the Hurst exponent for the stock prices forecasting in investment systems management

P. 1–3.
Sizykh D., Sizykh N.

In the carried out research is confirmed that the application of the Hurst exponent in forecasting the time series of stock prices and stability of trend can improve forecasting results, but it is possible only in the short-term time period. The Hurst exponent can be used as an additional indicator (data risk in forecasting) and can improve forecast data reliability in the large-scale investment systems.

Language: English
Full text
DOI
Keywords: Hurst exponentstock quotesinvestment systems managementHolt-Winters forecasting model

In book

2019 Twefth International Conference "Management of large-scale system development" (MLSD)
IEEE, 2019.
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