Title :
Symbolic Analysis of Shanghai Stock Market Returns
Author :
Xu, Mei ; Huang, Chao
Author_Institution :
Sch. of Manage., Tianjin Univ., Tianjin, China
Abstract :
Symbolic time series analysis method is introduced into the study of financial market returns. On the basis of symbolizing time series and coding the symbolic time series, the characteristics of symbolic series can be described by symbolic series histogram and symbolic tree. The method proposed is used to analyze the daily return characteristics of some indices of Shanghai Stock Market including Shanghai stock exchange´s composite index, industrials index, commercial index, real estate index and utilities index.
Keywords :
stock markets; time series; Shanghai Stock Market; commercial index; composite index; financial market returns; industrials index; real estate index; symbolic analysis; symbolic series histogram; symbolic time series analysis; symbolic tree; utilities index; Encoding; Histograms; Indexes; Noise; Probability; Stock markets; Time series analysis;
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
DOI :
10.1109/ICMSS.2011.5998564
