| 000 | 02935nla2a2200589 4500 | ||
|---|---|---|---|
| 001 | 180602 | ||
| 005 | 20231029194923.0 | ||
| 035 | _a(RuTPU)RU\TPU\book\195779 | ||
| 035 | _aRU\TPU\book\195778 | ||
| 090 | _a180602 | ||
| 100 | _a20100521d2007 k y0rusy50 ca | ||
| 101 | 1 |
_aeng _crus |
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| 102 | _aRU | ||
| 135 | _adrnn ---uucaa | ||
| 200 | 1 |
_aApplication of one-dimension STS-distribution for modelling magnitudes of stock indexes _bElectronic resource _fО. А. Belsner, О. L. Kritskiy |
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| 203 |
_aText _celectronic |
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| 215 | _a1 файл (489 Кб) | ||
| 225 | 1 | _aMathematics and mechanics. Physics | |
| 230 | _aЭлектронные текстовые данные (1 файл : 489 Кб) | ||
| 300 | _aЗаглавие с титульного листа | ||
| 300 | _aЭлектронная версия печатной публикации | ||
| 320 | _a[Bibliography: p. 47 (17 titles)] | ||
| 330 | _aModified method STS-GARCH(1,1) has been considered. Modification consisted in rejection of the statement on normal low of logarithm distribution of time series day increment and in their application for the description of Smoothly Truncated a-Stable (STS)-distribution (smoothly abridged a-stable). The method parameters were found by the technique of maximum likelihood. Statistic investigation of the suggested algorithm accuracy was carried out and decrease of autocorrelation in data structure used for the analysis was shown. The method was used to predict share prices of lag 5. | ||
| 337 | _aAdobe Reader | ||
| 461 | 1 |
_0(RuTPU)RU\TPU\book\169973 _tBulletin of the Tomsk Polytechnic University _fTomsk Polytechnic University (TPU) _d2006-2007 |
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| 463 | 1 |
_0(RuTPU)RU\TPU\book\195457 _tVol. 310, № 1 _v[P. 42-47] _d2007 _p201 p. |
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| 610 | 1 | _aone-dimension distribution | |
| 610 | 1 | _amodelling | |
| 610 | 1 | _amagnitudes | |
| 610 | 1 | _astock indexes | |
| 610 | 1 | _amodified method | |
| 610 | 1 | _amodification | |
| 610 | 1 | _alow distribution | |
| 610 | 1 | _alogarithm | |
| 610 | 1 | _aday increments | |
| 610 | 1 | _aparameters | |
| 610 | 1 | _atechnique of maximum likelihood | |
| 610 | 1 | _astatistic investigation | |
| 610 | 1 | _aalgorithm | |
| 610 | 1 | _aautocorrelation | |
| 610 | 1 | _adata | |
| 610 | 1 | _aprices | |
| 610 | 1 | _alags | |
| 610 | 1 | _aэлектронный ресурс | |
| 610 | 1 | _aтруды учёных ТПУ | |
| 675 |
_a330.43 _v3 |
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| 700 | 1 |
_aBelsner _bO. A. _cMathematician _cSenior Lecturer of Tomsk Polytechnic University _f1983- _gOlga Alexandrovna _2stltpush _3(RuTPU)RU\TPU\pers\44599 |
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| 701 | 1 |
_aKritski _bO. L. _cmathematician _cAssociate Professor of Tomsk Polytechnic University, Candidate of physical and mathematical sciences _f1976- _gOleg Leonidovich _2stltpush _3(RuTPU)RU\TPU\pers\31888 |
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| 801 | 1 |
_aRU _b63413507 _c20090623 _gPSBO |
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| 801 | 2 |
_aRU _b63413507 _c20191212 _gPSBO |
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| 856 | 4 | _uhttp://www.lib.tpu.ru/fulltext/v/Bulletin_TPU/2007/v310eng/i1/09.pdf | |
| 942 | _cCF | ||