Krytsun K. Economic mathematical modeling dynamics of the financial indicators.

The research highlights main macroeconomic factors that influence on financial indicators. Author proposes meaning of the term 'financial indicators'. It analyzes the dynamics of financial indicators of the stock markets and foreign exchange market, carried out monitoring of the situation on the market in different time windows: in a period of growth, crisis and after the crisis with using multifractal analysis of detrended fluctuations. The study describes the main methods of modeling the dynamics of financial indicators, approaches to the analysis of financial time series. The advantages and disadvantages of each of these methods. It shows main purposes and definitions of fractal and multifractal analysis. Also confirms fractal market hypothesis on real data. Using R/S analysis gave the results that highlight financial indicators such as stock index as persistent time series. It means that dynamics will continue it's behavior for some period of time in the future. But if look at exchange rate pair that is analyzed by R/S analysis, the results shows that this pair is Brownian motion. The investigation proposes econometric models such as EGARCH, VAR. Using EGARCH-model will help predict volatility of stock index in stable period in the stock market. VAR modelling is used to find out how shocks of WIG stock index causes shocks in Euro/Dollar dynamics. That can influence on future forecast. The thesis describes a complex mathematical economic models and conceptual framework of the proposed complex, which can be used by the government in the formation of state policy, investment institutions and individual investors for the formation of an investment portfolio and market traders to select the investment strategy.