Synergetic method of a quantitative forecasting of economic times series

Gennadiy Bystray (), Aleksandr Kuklin (), Ivan Lykov () and Natalya Nikulina ()
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Aleksandr Kuklin: Institute of Economics of the Ural Branch of the Russian Academy of Sciences
Ivan Lykov: Ural Federal University named after the first President of Russia B. N. Yeltsin
Natalya Nikulina: Institute of Economics of the Ural Branch of Russian Academy of Sciences

Economy of region, 2013, vol. 1, issue 4, 250 - 259

Abstract: In the article, a synergetic method of the economic time series forecasting on the basis of the modified method of Hurst is discussed. It is a new nonlinear method of predicting the development of economic systems according to time series on macro- and mesolevels. The main theorem underlying the forecasting method is formulated and strictly proved: for a chaotic series of a particular length it is possible to specify a time interval where the series is reliably predicted with the Hurst exponent more than 0.5. The examples of the fractal characteristics’ calculation and the forecasting taking into account time of reliable forecast of the socioeconomic indexes’ behavior — oil prices, natural gas prices, the Dow Jones index, the «euro-dollar» prices, the Gross Domestic Product, and some other indicators at the regional level are given. All calculations are carried out by means of the specialized software product upgraded for the task solution set in this article.

Keywords: a synergetic method of economic time series forecasting; modified method of Hurst; time of reliable forecast (search for similar items in EconPapers)
Date: 2013
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