519.2 Comparative analysis of modeling methods and time series forecasting based on the theory of fractal Brownian motion

Oblakova T. V. (Bauman Moscow State Technical University), Alekseev D. S. (Bauman Moscow State Technical University)

FRACTIONAL BROWNIAN MOTION, HURST EXPONENT, STOCHASTIC REPRESENTATION, CHOLESKY DECOMPOSITION, DAVIES AND HARTE METHOD, MINKOWSKI METHOD, R/S ANALYSIS, LINEAR TIME SERIES FORECASTING


doi: 10.18698/2309-3684-2022-4-4862


The work summarizes the results obtained in the course of the implementation of Bachelor's final qualifying work and is devoted to the methods of simulating and applying the fractional Brownian motion in the problems of time series analysis. Software modules have been implemented to generate trajectories of fractal Brownian motion using the methods of stochastic representation, Cholesky decomposition and Davis-Hart. Algorithms vere compared in terms of their complexity and the quality of the resulting trajectories. The Hurst exponent was estimated by the Minkowski and R/S analysis methods. An approximation of time series by fractal Brownian motion using a power function is proposed and implemented for the subsequent application of a linear prediction algorithm based on the normal correlation theorem. It has been established that with the help of the presented approximation it is possible to achieve a satisfactory forecast of the exchange rate for several values ahead.


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