Использование экспертной системы для моделирования фрактальных финансовых рядов

Abstract

The work considers the expert system, which is designed to study the fractal structure of financial time series. One of its tasks is the choice of a mathematical model of a stochastic process with a fractal properties, which has investigated financial time series. In this paper we have studied various financial series that showed their explicit fractal properties. The proposed approach allows to simulate the realizations with the relevant mono-or multifractal properties