Статья 'Ретропрогнозирование индекса Санкт-Петербургской фондовой биржи (1914-1915 гг.): опыт работы с моделью ARIMA' - журнал 'Историческая информатика' - NotaBene.ru
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Historical informatics

Retro Forecasting of Saint Petersburg Stock Exchange Indices (1914-1915): ARIMA Model Test

Anisimova Dar'ya

ANISIMOVA Darya Vyacheslavovna – Research Assistant, Section of Historical Informatics, History Department, Lomonosov Moscow State University;

History Department of MSU, Lomonosovsky prospekt 27-4, Moscow 119991 Russia;

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Abstract: The article describes how the author forms a counterfactual model forecasting the dynamics of Saint Petersburg Stock Exchange index after July 1914 before the war which radically changed the factor role of prewar dynamics. The author hypothesizes that the decreasing trend of St. Petersburg Stock Exchange index during the last prewar year was caused by internal economic factors which could determine further dynamics of the index when no war is assumed. To test this hypothesis the author has developed ARIMA statistical model within the R software environment. This model is an integrated model of autoregressive moving average which is an extension of the ARMA model for nonstationary time series. The counterfactual model has demonstrated that in case the influence of the pre-war period factors continued, the dynamics of the index over the next year would tend to decrease, even if the war did not begin. Thus, one can speak of the beginning recession phase in the cyclical development of Russian industry in 1913.

Keywords: the counterfactual model, mathematical modeling, the stock exchange index, the St. Petersburg Stock Exchange, the First World War, Russian empire, economical history, retro forecast, the ARIMA model, the R software environment
This article written in Russian. You can find full text of article in Russian here .

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