Title :
The Stock Markets as an Ineffective Sampler
Author :
Antonelli, Gianluca ; Chiaverini, Stefano
Author_Institution :
Dipartimento di Automazione, Elettromagnetismo, Ingegneria dell’Informazione e Matematica Industriale, Università degli Studi di Cassino, Via G. Di Biasio 43, 03043 Cassino (FR), Italy, antonelli@unicas.it
Abstract :
The ability to forecast the trend of the stock markets is of obvious importance. A lot of effort has been devoted at modelling the stock markets as deterministic or stochastic dynamic systems. In this paper the stock markets are view as a sampler for the continuous-time price dynamics and its effectiveness will be discussed. It will be shown that data extrapolated from stock markets are corrupted by noise and, in most cases, it appears that no useful information can be extracted from such data.
Keywords :
Books; Data mining; Economic forecasting; Fractals; Mathematical model; Predictive models; Psychology; Stochastic resonance; Stochastic systems; Stock markets;
Conference_Titel :
Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05. 44th IEEE Conference on
Print_ISBN :
0-7803-9567-0
DOI :
10.1109/CDC.2005.1582993
