ITM Web Conf.
Volume 59, 2024II International Workshop “Hybrid Methods of Modeling and Optimization in Complex Systems” (HMMOCS-II 2023)
|Number of page(s)
|Interdisciplinary Mathematical Modeling and Applications
|25 January 2024
Financial time series forecasting methods
Siberian Federal University,
79, Svobodny Prospect,
* Corresponding author: email@example.com
The paper presents the development of time series forecasting algorithms based on the Integrated Autoregressive Moving Average Model (ARIMA) and the Fourier Expansion model. These models were applied to non-stationary time series of stock quotes after bringing these series to a stationary form. In the paper, ARIMA and Fourier Expansion model were constructed, using Python development environment. The developed algorithms were tested on Russian and American stock indices using the Mean Absolute Percentage Error metric.
© The Authors, published by EDP Sciences, 2024
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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