Title :
Research and application of multifractal and neural network in stock markets of China
Author :
Mengqiu, Song ; Weilin, Dan
Author_Institution :
Wuhan Univ. of Technol., Wuhan, China
Abstract :
Stock price fluctuation in stock markets is a very important issue in financial researches. However, the information in stock markets of China is too much to analysis. Fractal theory is an important modern branch of nonlinear science. Neural network has a strong nonlinear approximation ability and self-organizing, adaptive features. Based on fractal theory, the Shanghai integrated index are chosen and M F-DFA is used to study fractal property. Then use neural network to analysis and predict the new data sequence, to obtain satisfactory results.
Keywords :
approximation theory; fractals; pricing; self-organising feature maps; stock markets; M F-DFA; Shanghai integrated index; adaptive features; data sequence; financial researches; fractal theory; multifractal; neural network; nonlinear approximation ability; nonlinear science; self-organizing features; stock markets; stock price fluctuation; Biological neural networks; Biological system modeling; Fractals; Indexes; Stock markets; Time series analysis; Training; Forecasting; MF-DFA; Multifractal; Neural network;
Conference_Titel :
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location :
Deng Leng
Print_ISBN :
978-1-4577-0535-9
DOI :
10.1109/AIMSEC.2011.6010187
