ANALYSIS AND FORECASTING OF SELF-SIMILAR FINANCIAL TIME SERIES

MIKHAIL MOKLYACHUK AND ALEKSEY ZRAZHEVSKY

Theory of Stochastic Processes Vol. 12 (28), no. 3–4, 2006, pp. 114–122

Time series of prices of MSFT ticker are considered. Results on selfsimilarity of this time series are presented. A method of prediction from FARIMA model for long-range dependent time series is described. This method is used for prediction of MSFT time series of prices that exhibits long-range dependence with the Hurst parameter close to 1.

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