SOCIAL AND ECONOMIC SYSTEMS MANAGEMENT

Methods of analysis of the financial markets volatility

N. V. Demich, O. V. Demich

Astrakhan State Technical University

Abstract: The models and methods based on the analysis of volatility of time series in various time intervals are considered. It is shown, that application of wavelet methodology and hidden Markov model is a perspective direction for research and forecasting of dynamics of the financial markets. The advantage of use of the large-scale wavelet analysis of time series is resulted.

Keywords: volatility, wavelet, hidden Markov model, trader.

UDC: 681.3

Received: 18.11.2009