Title :
Long-Term Memorarity Analysis of Stock Chaos and Volatility
Author :
Ke, Jinchuan ; Ye, Shujun ; Chen, Zhe ; Zhang, Rong
Author_Institution :
Sch. of Econ. & Manage., Beijing Jiaotong Univ., Beijing, China
Abstract :
The stock prices are affected by historical information to a certain extent. The fluctuation volatility can be measured by the Hurst index. With modified rescale range/standard deviation (R/S) model, this paper presents an analysis of CSI 300 index, coal and oil industry index, and other six individual stocks in different industries for their fluctuation features.
Keywords :
pricing; statistical analysis; stock markets; CSI 300 index; Hurst index; coal industry index; fluctuation volatility; historical information; long-term memorarity analysis; oil industry index; rescale range model; standard deviation model; stock price; Chaos; Conference management; Financial management; Fluctuations; Gaussian distribution; Information analysis; Petroleum industry; Portfolios; Time series analysis; Tin; Fluctuation; Long-term Momorarity; R/S analysis; Return; Volatility;
Conference_Titel :
Information and Financial Engineering, 2009. ICIFE 2009. International Conference on
Conference_Location :
Singapore
Print_ISBN :
978-0-7695-3606-4
DOI :
10.1109/ICIFE.2009.35
