Double layer interval weighted graphs in assessing the market risks

Dmitriev A.V., Markov N.V.
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This scientific work is dedicated to applying of two-layer interval weighted graphs in nonstationary time series forecasting and evaluation of market risks. The first layer of the graph, formed with the primary system training, displays potential system fluctuations at the time of system training. Interval vertexes of the second layer of the graph (the superstructure of the first layer) which display the degree of time series modeling error are connected with the first layer by edges. The proposed model has been approved by the 90-day forecast of steel billets. The average forecast error amounts 2,6 % (it’s less than the average forecast error of the autoregression models).

Keywords: market risks, forecasting, non-stationary time series, double layer interval weighted graphs
Citation in English: Dmitriev A.V., Markov N.V. Double layer interval weighted graphs in assessing the market risks // Computer Research and Modeling, 2014, vol. 6, no. 1, pp. 159-166
Citation in English: Dmitriev A.V., Markov N.V. Double layer interval weighted graphs in assessing the market risks // Computer Research and Modeling, 2014, vol. 6, no. 1, pp. 159-166
DOI: 10.20537/2076-7633-2014-6-1-159-166
URL: http://crm-en.ics.org.ru/journal/article/2124/
Creative Commons License This work is licensed under a Creative Commons Attribution-NoDerivs 3.0 Unported License.
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