شماره ركورد كنفرانس :
4079
عنوان مقاله :
A new stock price model via smooth wavelets
پديدآورندگان :
Abootorabi Z H z_habotorabi@pnu.ac.ir Yazd University , Samavati F F samavati@cpsc.ucalgary.ca Calgary University , Maalek Ghaini F M maalek@yazd.ac.ir Yazd University
كليدواژه :
Time series , multiresolution , wavelet transform , Black , Scholes model , B , spline wavelets
عنوان كنفرانس :
چهل و هفتمين كنفرانس رياضي ايران
چكيده فارسي :
In this work, we prepare a smooth model for stock price. This model is based on wavelet transform. The new model
is applied to estimate future of stock price. This estimation is compared with another estimation, which is obtained by a stochastic model. In this paper it is shown that the new model is faster and more accurate than Black-Scholes model for the prediction
of future of stock price process.
