Improving prediction of financial instruments return based on fractal analysis
Atask of improving the quality of forecasting returns of financial instruments using fractal analysis is reviewed. To study the fractal properties fractal index was used, whose value is allowed to determine the status of the series. In the state of sustainable building trend prediction was performed using a regression model. In a state of "chaotic walk" prediction was performed using a model of Brownian motion. Determining the status of sustainable trend has allowed improving the quality of the forecast return of the instrument.