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Application of Nonlinear Time Series Analysis in Precidiction of Stock Idex(PDF)

《南京理工大学学报》(自然科学版)[ISSN:1005-9830/CN:32-1397/N]

Issue:
1998年01期
Page:
86-89
Research Field:
Publishing date:

Info

Title:
Application of Nonlinear Time Series Analysis in Precidiction of Stock Idex
Author(s):
Feng Yu Chen Ping
School of Sciences, NUST, Nanjing 210094
Keywords:
forecast ing threshold limit autoregressive mo dels curr ent prices of stock
PACS:
O211.61
DOI:
-
Abstract:
In this paper , a method of nonlinear t ime series analysis is used to f it the series o f a par t of curr ent prices o f stock. It is pointed out that a piecew ise linear regression metho d can be used to f it the t rend of series w here applying thresheld autoregr essive model to f it the stat ionary error ser ies in w hich the t rend of original time series has been eliminated. It is also pr oved that under normal condit ions, o ur models hav e nice f it t ing result s, thr oug h comparing Sheng zhen stotk index w ith its predictio n values. So an effect ive metho d for curr ent predict ion is pr ovided.

References:

1 冯予, 陈萍. 股市行情的多元数据分析. 预测, 1996, 3( 2) : 42~45
2 Bjor n Auest ad, Da g Tjo stheim. I dentifica tio n of nonlinear time series: Fir st o rder char act erizat ion and or der der ter imination.Biometr ike, 1990, 77( 4) , 669~687

Memo

Memo:
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Last Update: 2013-03-29