ISSN 0869-6632 (Print)
ISSN 2542-1905 (Online)

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Loskutov A. J., Kozlov A. A., Hahanov J. M. Entropy and forecasting of time series in the theory of dynamical systems. Izvestiya VUZ. Applied Nonlinear Dynamics, 2009, vol. 17, iss. 4, pp. 98-113. DOI: 10.18500/0869-6632-2009-17-4-98-113

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Entropy and forecasting of time series in the theory of dynamical systems

Loskutov Aleksandr Jurevich, Lomonosov Moscow State University
Kozlov Aleksandr Aleksandrovich, Lomonosov Moscow State University
Hahanov Jurij Mihajlovich, Lomonosov Moscow State University

A contemporary consideration of such concepts as dimension and entropy of dynamical systems is given. Description of these characteristics includes into the analysis the other notions and properties related to complicated behavior of nonlinear systems as embedding dimension, prediction horizon etc., which are used in the paper. A question concerning the application of these ideas to real observables of the economical origin, i.e. market prices of the companies Schlumberger, Deutsche Bank, Honda, Toyota, Starbucks, BP is studied. By means of the method of singular spectrum analysis the forecasting of the market prices of these companies in different phases of the economical cycle – just before crisis and during the crisis – is given. Main advantages and demerits of the method used are found.

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