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Publikācija: Alternative Financial Timeseries Risk Indicator Estimation by using North-East Volatility Wind Effect

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Nosaukums oriģinālvalodā Alternative Financial Timeseries Risk Indicator Estimation by using North-East Volatility Wind Effect
Pētniecības nozare 1. Dabaszinātnes
Pētniecības apakšnozare 1.1. Matemātika
Autori Andrejs Pučkovs
Atslēgas vārdi North-East Volatility Wind Effect, Volatility, Wavelet filtration, Continuouse Wavelet Transform, timeseries analysis, risk estimation, Fourier transform, frequency domain, time domain, Volatility wave, Neural networks
Anotācija This paper illustrates alternative indicator for risk estimation. This indicator is beneficial for financial market instability prediction on early stages. Alternative risk measure is based on North-East Volatility Wind Effect and its helical (spiral) structure investigation in frequency domain. Research is based on regularity research of spiral (helical) structure of obtained Fourier coefficients. According research alternative risk measure for financial time series is acquired. This measure could be used for volatility indicator forecasts.
Hipersaite: http://jurnal.org/articles/2014/ekon76.html 
Atsauce Pučkovs, A. Alternative Financial Timeseries Risk Indicator Estimation by using North-East Volatility Wind Effect. Журнал научных публикаций аспирантов и докторантов, 2014, No.7, 19.-25.lpp. ISSN 1991-3087.
ID 18517