Title :
Forecast of stock price volatility based on the multi-fractal spectrum analysis
Author :
Yang, Tianqi ; Deng, Jiaxing
Author_Institution :
Jinan Univ., Guangzhou
Abstract :
This paper mainly employs multi-fractal spectrum theory to study the time series of stock price fluctuations law. First, multi-fractal analysis on the stock market of China prove that stock price fluctuations obey multi-fractal random walk, and then research on the Multi-spectrum characteristics change before and after the continued strong fluctuations time sequence of stock prices through empirical analysis. Then, study the relationship between the Multi-spectrum parameters and price changes in the time series, thus proving that Multi-spectrum parameters has some predictive capability. Finally construct the stock price volatility forecast model, the clustering forecast on the Multi-spectrum parameters access to the higher accuracy forecast results, It show out a new research method on the stock price forecasting.
Keywords :
economic forecasting; fractals; pricing; random processes; share prices; stock markets; time series; financial time series; multi fractal random walk; multi fractal spectrum analysis; stock market; stock price fluctuations; stock price volatility forecast; Automation; Economic forecasting; Fluctuations; Fractals; Intelligent control; Predictive models; Stock markets; Time series analysis; Financial time series; Forecast; multi-fractal spectrum;
Conference_Titel :
Intelligent Control and Automation, 2008. WCICA 2008. 7th World Congress on
Conference_Location :
Chongqing
Print_ISBN :
978-1-4244-2113-8
Electronic_ISBN :
978-1-4244-2114-5
DOI :
10.1109/WCICA.2008.4594368