The Forecasting Research of Stock Price Index by the Symbol Sequence

Using two kinds of symbol sequence as the condition, this paper presents an empirical research on the data of Shanghai stock price index. One is the symbol sequence of closing index; the other is the symbol sequence of multifractal spectrum parameter. The result shows that, the Shanghai stock market is not totally efficient, the index fluctuating is not strictly random, and either of these two conditional probabilities has the forecasting capacity. It is also found that the correlation between the condition of different symbol sequences and the larger fluctuation of stock price index is stronger than the correlation between the condition and the smaller fluctuation of stock price index when threshold values are greater. These remarks can be used to predict the probability of the near future price movements