Volume 18, Issue 1 (4-1999)
1999, 18(1): 193-200 |
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H. Khaloozadeh, A. Khaki Sedigh and C. Lucas. On the Predictability of Price Fluctuations in Tehran Stock Exchange A Correlation Dimension Estimation Approach. Computational Methods in Engineering 1999; 18 (1) :193-200
URL: http://jcme.iut.ac.ir/article-1-161-en.html
URL: http://jcme.iut.ac.ir/article-1-161-en.html
Abstract: (3493 Views)
This paper employs a general non-linear analysis tool to analyse the nature of time series associated with the price (returns) of a particular company in Tehran Stock Exchange. It is shown that the behavior of the process associated with the price (returns) time-series of this company is weakly chaotic, and due to the non-random behavior of the process, short term prediction of stock price is possible. It is also shown, using the correlation dimension estimation analysis, that a modeling of the price fluctuations based solely on the price data is insufficient to establish a model for future price prediction and that other variables involved in the process must be accounted for.
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