APPLICATION OF THE LINEAR AUTOREGRESSION MODEL TO PREDICTING THE DYNAMICS OF STOCK-EXCHANGE QUOTATIONS

摘要

A problem of creating a dynamic model for market trends, capable of rapid adaptation to various forms of external adjustment of the rate of securities, is posed and solved. Application of computers and new information technologies in various fields of human activities could not miss an area, which is important for the community as a whole and has been rather specific until recently, such as a stock market or security market. This refers particularly to planning and organization of stock-market speculations as the basic mechanism of market pricing. The recent development of versatile information systems aimed at involving client-users to stock-market speculations in the on-line mode directly from the workplace through the Internet formed a whole army of speculators representing interests of numerous companies, firms, and even private individuals that have not been previously related to the security market. This process aroused interest to new methods of information processing not only among specialists and researchers but also among practicing traders. These categories of people are assumed to be the primary readers of this paper based on results of [1-3] and on some new results obtained from trader's activities at the Moscow Interbank Currency Exchange from January to June 2003.