Rational Speculative Bubble Size in Gold, Hang Seng, S&P 500 and Nikkei 225 Index During Year 2008 to 2016

Discovering Pattern Associations in Hang Seng Index Constituent Stocks

The problem of finding patterns in financial time series has been tackled by systematic observations of trends, statistical analysis or the use of artificial intelligence techniques in trend analysis. These techniques are more for the discovering of patterns in data rather than the understanding of association relationships between the discovered patterns. As time series patterns often overlap ...

Evolving Neural Networks for Hang Seng Stock Index Forecast

This paper describes an evolutionary neural network approach to Hang Seng stock index forecast. In this approach, a feedforward neural network is evolved using an evolutionary programming algorithm. Both the weights and architectures (i.e., connectivity of the network) are evolved in the same evolutionary process. The network may grow as well as shrink. The experimental results show that the ev...

Forecasting the Volatility of Nikkei 225 Futures ∗

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset. Empirical results for Nikkei 225 fut...

The distribution and scaling of fluctuations for Hang Seng index in Hong Kong stock market

The statistical properties of the Hang Seng index in the Hong Kong stock market are analyzed. The data include minute by minute records of the Hang Seng index from January 3, 1994 to May 28, 1997. The probability distribution functions of index returns for the time scales from 1 minute to 128 minutes are given. The results show that the nature of the stochastic process underlying the time serie...

Prediction of the Movement of Nikkei 225 Index Based on Japanese Yen-usd Currency Price