Title :
The application of fractal wavelet to stock investment
Author :
Xi, Zhen-Fei ; Hou, Jian-Rong ; Song, Guo-Xiang
Author_Institution :
Sch. of Sci., Xidian Univ., Shannxi, China
Abstract :
Time-varying Hurst index is introduced to characterize the stock stochastic evolution process. The inherent scaling property of wavelet is well suited to the analysis of locally self-similar process. The estimation formula of Hurst index are proposed based on Daubechies wavelet and the consistence of estimation value with true is also proven. Week-index analysis of Shanghai stock market is taken as real example. The result reveals that three types of stock investment strategies are adopted at various stages.
Keywords :
Brownian motion; fractals; investment; stochastic processes; stock markets; wavelet transforms; Daubechies wavelet; Shanghai stock market; fractal wavelet; scaling property; self-similar process; stock stochastic evolution process; time-varying Hurst index; week-index analysis; Decision making; Fractals; Gaussian distribution; Integral equations; Investments; Mathematical model; Random processes; Stochastic processes; Stock markets; Wavelet analysis;
Conference_Titel :
Machine Learning and Cybernetics, 2003 International Conference on
Print_ISBN :
0-7803-8131-9
DOI :
10.1109/ICMLC.2003.1259923
