DocumentCode
2966353
Title
An Empirical Analysis on Forecasting Stock Price: By Maximum Lyapunov Exponent and Fractal Dimension
Author
Yang, Hanchao
Author_Institution
Sch. of Syst. & Enterprises, Stevens Inst. of Technol., Hoboken, NJ, USA
fYear
2011
fDate
12-14 Aug. 2011
Firstpage
1
Lastpage
3
Abstract
In this empirical analysis of Shanghai Composite Index, we focus on the relationship between maximum Lyapunov exponent, fractal dimension and stock price. The former one is to measure the chaos degree of the market. And under relatively weak chaos condition, fractal dimension, which is defined by Hurst exponent, is found to be an ideal prediction of stock price. Both of maximum Lyapunov exponent and fractal dimension show their potential in risk management and detecting financial bubbles.
Keywords
chaos; forecasting theory; fractals; pricing; risk management; stock markets; Hurst exponent; Shanghai composite index; empirical analysis; financial bubble detection; fractal dimension; market chaos degree; maximum Lyapunov exponent; risk management; stock price forecasting; Chaos; Correlation; Delay; Fractals; Presses; Risk management; Stock markets;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science (MASS), 2011 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-6579-8
Type
conf
DOI
10.1109/ICMSS.2011.5998350
Filename
5998350
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