• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

The Modeling of Stochastic Time Series Characteristics

Student: Georgy Volobuev

Supervisor: Leonid Zotov

Faculty: HSE Tikhonov Moscow Institute of Electronics and Mathematics (MIEM HSE)

Educational Programme: Applied Mathematics (Bachelor)

Final Grade: 9

Year of Graduation: 2017

In this work, the time series of the currency pair EUR/USD for the last 2 years (2015-2017) were studied. The main purpose was to analyze, model and predict the behavior of time series. Such financial time series characteristics as volatility and drift were estimated. Two cases of currency trading have been considered, based on these estimates. The prediction of time series based on the method of autoregression was performed. The multifractality of the financial time series have been investigated using the method of Multifractal Detrended Fluctuation Analysis. All computations were performed in MATLAB and illustrated by the plots. The results of this study can be used in the analysis and forecasting of the foreign exchange market, as well as abrupt changes identification and crisis forecast.

Full text (added May 25, 2017)

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses