Yu. N. Orlov, S. L. Fedorov, V. A. Davidko, “To the classification of non-stationary time series: RTS index composition”, Keldysh Institute preprints, 2014,054, 18 pp.

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To the classification of non-stationary time series: RTS index composition

Yu. N. Orlov, S. L. Fedorov, V. A. Davidko

Abstract: The classification of a set of time-series with respect to non-stationary index is carried out for RTS instruments. The variation of sampling distribution function is analyzed. The closed prices for 50 RTS instruments are examined. For each of them the non-stationary index, depending on sample length, is calculated.

Keywords: non-stationary time series, RTS index, self-consistent stationary level, non-stationary index.