A Fuzzy Random Walk Technique to Forecasting Volatility of Iran Stock Exchange Index

Forecasting Volatility with the Multifractal Random Walk Model

We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limiting object defined in a quotient space; formally, this object is an infinite range logvolatility. For this object and the non limiting object, we obtain precise prediction formulas and we apply the...

Stock Index Pricing with Random Walk and Agent-based Models

Exchange rate volatility and its effect on stock market volatility

This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the week of January 1, 1999 through the week of January 25, 2010, it is found that the 9/11 terrorist ...

Forecasting Stock Exchange Market Using Hybrid Neuro Fuzzy Model

This paper proposes a hybrid approach based on neuro fuzzy model and emotional learning for prediction of stock exchange market. Neuro fuzzy models are powerful in modeling and forecasting highly nonlinear and complex time series. The emotional Learning, which is successfully used in bounded rational decision making, is introduced as an appropriate method to achieve particular goals in the pred...

Fuzzy dual-factor time-series for stock index forecasting

There is an old Wall Street adage goes, ‘‘It takes volume to make price move”. The contemporaneous relation between trading volume and stock returns has been studied since stock markets were first opened. Recent researchers such as Wang and Chin [Wang, C. Y., & Chin S. T. (2004). Profitability of return and volume-based investment strategies in China’s stock market. Pacific-Basin Finace Journal...

Effect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model

The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...