Forecasting Time Series in the Stock Exchange Quotations Using the Fourier Series

The paper describes an actual task of forecasting the quotation time series in a stock market. It defines peculiarities in working with the time series, analyzes the process of dividing the time series into components and methods of the series consolidation in a stationary form. The paper presents theoretical basis for using the Fourier series in forecasting the series. It provides a technique in the Fourier series algorithm finetuning the one-step and long-term forecast. Comparing the forecast results, it analyzes the delay value influence on the algorithm accuracy.