Adaptive trend decomposition of financial time series

Abstract

Purpose: dynamic reproduction of stock market multi-trend processes. Discussion: the authors consider adaptation principles as the basis of the mechanism of the effective stock market. Considering the behavior of the stock market as the behavior of a single socio-economic system, having the properties of self-tuning, self-regulation, adaptation to new, continuously changing conditions, the stock market theories recognized by the scientific community, but disconnected and adverse, can be considered as a complementary. The fact that the stock market is volatile and follows variable rules at different time intervals formed the understanding of the multi-trend processes of the stock market. Results: the authors introduce the concept of a basic trend and make suggestions concerning its properties. A formal statistical model of the multi-trend process has been proposed, it is introduced as a set of trend components. This model formed the basis of dynamic technology of the adaptive trend decomposition of financial time series, demonstrated in the empirical part.