A high-low model of daily stock price ranges
نویسندگان
چکیده
منابع مشابه
An empirical model of fractionally cointegrated daily high and low stock market prices ¬リニ
a r t i c l e i n f o Keywords: Fractional cointegration Long memory Range Volatility Daily high and low prices This work provides empirical support for the fractional cointegration relationship between daily high and low stock prices, allowing for the non-stationary volatility of stock market returns. The recently formalized fractionally cointegrated vector autoregressive (VAR) model is employ...
متن کاملStock Price Forecasting with an Hybrid Model
Prediction of market prices is an important and well-researched problem. While traditional techniques have yielded good results, rooms for improvement still exists, especially in the ability to explain sudden changes in behavior, as a response to shocks. Nonlinear systems have been successfully used to describe phase transitions in deterministic chaotic systems, so the combination of the expres...
متن کاملA Fuzzy Neural Network Model for Forecasting Stock Price
In this paper, a neural network-driven fuzzy reasoning system for stock price forecast is proposed on the basis of improved Takagi-Sugeno reasoning model. The experimental result shows that the fuzzy neural network has such properties as fast convergence, high precision and strong function approximation ability and is suitable for real stock price prediction.
متن کاملA Fuzzy-Neural Intelligent Trading Model for Stock Price Prediction
In this paper, Fuzzy logic and Neural Network approaches for predicting financial stock price are investigated. A study of a knowledge based system for stock price prediction is carried out. We explore Trapezoidal membership function method and Sugeno-type fuzzy inference engine to optimize the estimated result. Our model utilizes the performance of artificial neural networks trained using back...
متن کاملA model for stock price fluctuations based on information
I present a new model for stock price fluctuations based on a concept of “information.” In contrast, the usual Black–Scholes–Merton–Samuelson model is based on the explicit assumption that information is uniformly held by everyone and plays no role in stock prices. The new model is based on the evident nonuniformity of information in the market and the evident time delay until new information b...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2009
ISSN: 0277-6693,1099-131X
DOI: 10.1002/for.1087