Title :
An Empirical Analysis on Forecasting Stock Price: By Maximum Lyapunov Exponent and Fractal Dimension
Author_Institution :
Sch. of Syst. & Enterprises, Stevens Inst. of Technol., Hoboken, NJ, USA
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;
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.2011.5998350
