SHORT-TERM FORECASTING OF THE STOCK INDEXES ON THE BASIS OF THE RECURRENT SCHEME OF KALLMAN WITH PROGRAM IMPLEMENTATION IN VBA EXCEL ENVIRONMENT
- Authors: Barysheva E.N.1, Borisova S.P.1, Talikina M.E.1
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Affiliations:
- Department of Mathematics and Business Informatics, Samara University, 34, Moskovskoye shosse, Samara, 443086, Russian Federation
- Issue: Vol 7, No 1 (2016)
- Pages: 120-124
- Section: MATHEMATICAL AND INSTRUMENTAL METHODS OF ECONOMICS
- URL: https://journals.ssau.ru/eco/article/view/5989
- DOI: https://doi.org/10.18287/2542-0461-2016-0-1-120-124
- ID: 5989
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Abstract
Program implementation of a forecasting method on the basis of the recurrent scheme of Kallman in VBA EXCEL is offered. The results can be applied to predict asset returns in the securities market and in problems of portfolio investment.
About the authors
E. N. Barysheva
Department of Mathematics and Business Informatics, Samara University, 34, Moskovskoye shosse, Samara, 443086, Russian Federation
Author for correspondence.
Email: morenov.sv@ssau.ru
S. P. Borisova
Department of Mathematics and Business Informatics, Samara University, 34, Moskovskoye shosse, Samara, 443086, Russian Federation
Email: morenov.sv@ssau.ru
M. E. Talikina
Department of Mathematics and Business Informatics, Samara University, 34, Moskovskoye shosse, Samara, 443086, Russian Federation
Email: morenov.sv@ssau.ru
References
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- Borisova S.P., Nikishov V.N., Talikina M.E. Kratkosrochnoe prognozirovanie fondovykh indeksov na osnove metodov Baiesa i Vinera s programmnoi realizatsiei v srede VBA Excel [Short-term forecasting of stock indices on the basis of Bayes and Wiener methods with program implementation in VBA EXCEL environment]. Matematika, ekonomika i upravlenie [Mathematics, Economics and Management], 2015, Vol. 1, no. 3, pp. 40–43 [in Russian].
- Kremer, G. Ziffling. Fil’tr Kalmana-B’iusi [Kalman-Bucy filter]. M.: Mir, 1982, 200 p. [in Russian].
- Sinitsyn I.N. Fil’try Kalmana i Pugacheva [Kalman and Pugachev filters]. M.: Logos, 2006, 640 p. [in Russian].
- Churakov E.P. Prognozirovanie ekonometricheskikh vremennykh riadov [Prognostication of econometric temporal series]. M.: Finansy i statistika, 2008, 208 p. [in Russian].
- Churakov E.P. Matematicheskie metody obrabotki eksperimental’nykh dannykh v ekonomike [Mathematical methods of processing of experimental data in the economics]. M.: Finansy i statistika, 2005 [in Russian].
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