A Simple Nonlinear Predictive Model for Stock Returns

A Simple Non-Stationary Model for Stock Returns

Bond and Stock Returns in a Simple Exchange Model

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Model for non-Gaussian intraday stock returns.

Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence tha...

Improved Optimization Process for Nonlinear Model Predictive Control of PMSM

Model-based predictive control (MPC) is one of the most efficient techniques that is widely used in industrial applications. In such controllers, increasing the prediction horizon results in better selection of the optimal control signal sequence. On the other hand, increasing the prediction horizon increase the computational time of the optimization process which make it impossible to be imple...

Predicting Abnormal Stock Returns with a Nonparametric Nonlinear Method

Neural networks (NN) can be applied to the predication of stock market trends based on information from legal insider trading. These data are available because officers of companies are required by law to submit to the Securities Exchange Commission a record of the sales and purchases of their companies stock. Because purchases are more useful in this endeavor than are sales, all smallcap, midc...