Conference publications

Abstracts

XIII conference

To a local approximation method of time-series short-range predictability of developing assets

V.P.Kharlamov¹, A.S.Shurup¹, I.A.Zhukov, M.Yu.Romanovsky

General physics Institute

¹Vavilov str., 38

²119991 Moscow

2 pp.

Two facts permit us to consider assets of developing stock markets as complex dynamical systems (or, at least, “more dynamical” than the respect developed assets): a comparably small quantity of stocks and players and an influence of developed stock markets [1]. Thus an action of international developed stock markets and other economics players may be reproducing. The method of short-range forecast is proposed for developing stock markets based on the generalized linear approximation of a day return. In fact, it is closed to the well-known technical analysis of stock market events but much more mathematical.

The method deals with the daily-recorded time series return of the investigated asset. The first step is the searching of predecessor time series parts, which have similar past values in comparison with the present part of the investigated time series. The length of these part and quantity of such parts are determined (by us) experimentally. The short-range forecast (for one day and several days) is produced as some mean of these time-series parts continued up to the forecast horizon. In this case, an external action on the investigated time series is accounted due to the choice of these similar predecessor parts of the same time series and leads to an increase of a redundant information of this time-series [2].

The method gives satisfactory good several-days forecast: prediction of investigated time-series return changes (up or down) is larger than 60%, and the ratio of prediction error variation to the time-series variation is normally less than one.

1. T.B.Ersov, M.Yu.Romanovsky. Short-range response of russian “blue chips” stock rates on the dynamics of international industrial stock indexes. To short-range forecasts of stock rates of russian companies. Modern problems of statistical physics, 2, 168-179 (2003).

2. R.N.Mantegna, H.E.Stanley. An introductiion to econophysics. Correlation and complexity in finance. Cambrige University Press (Cambrige 2000).