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Динамические характеристики временных рядов котировок акций: анализ, оценка показателей и практическое применение
The monograph presents research materials based on the results of assessment and analysis of the dynamic characteristics of time series of stock quotes. Optimal estimates were selected and justified, the applying of which makes possible to improve the quality and efficiency of the forecasting stock quotes, building and rebalancing of investment portfolios, risk management, etc. The authors proposed indicators for assessing the stability of stock quotes, cumulative drawdown and a model for their use in the building of stable investment portfolios.
The predictive ability of hybrid methods used for stock prices forecasting was studied and new data regarding the use of the Hurst exponent were substantiated. The presented material is systematic in nature and is based on expanded foreign and domestic experience, contains numerous practical examples with evaluation formulas and analysis of the obtained results.