Price Time Series Long Memory Analysis and Prediction Study
نویسنده
چکیده
The R/S test has been extensively used in testing the long memory of financial time series, but little attentions have been paid on its validity. The paper sets the chemical raw materials styrene price time series as an example, to test the stable of the price series. It indicates that we should give prudent explanation for the R/S test, and then establish the ARFIMA model to determine the data generation process with fractal characteristics. Thus the fractal theory can be used to describe the price time series and provide theoretical support for the price time series forecasting.
منابع مشابه
تحلیل و پیش‌بینی اثرات غیرخطی در بازار نفت
This research aims to introduce an ideal model for forecasting Iranian crude oil price movements. It tries to make an all-out analysis of this energy product. Therefore, we tested the ‘predictability’ hypothesis by using the variance ratio test, BDS test and the chaos series test. Later, a structural analysis is a carried out to investigate possible nonlinear patterns in the series. Lyapunov ex...
متن کاملModeling and prediction of time-series of monthly copper prices
One of the main tasks to analyze and design a mining system is predicting the behavior exhibited by prices in the future. In this paper, the applications of different prediction methods are evaluated in econometrics and financial management fields, such as ARIMA, TGARCH, and stochastic differential equations, for the time-series of monthly copper prices. Moreover, the performance of these metho...
متن کاملFunctional-Coefficient Autoregressive Model and its Application for Prediction of the Iranian Heavy Crude Oil Price
Time series and their methods of analysis are important subjects in statistics. Most of time series have a linear behavior and can be modelled by linear ARIMA models. However, some of realized time series have a nonlinear behavior and for modelling them one needs nonlinear models. For this, many good parametric nonlinear models such as bilinear model, exponential autoregressive model, threshold...
متن کاملبررسی روندحافظه بلندمدت در بازارهای جهانی نفت
The characterization of memory effects in crude oil markets is an interesting issue that has attracted the attention of researchers from different disciplines, from econophysics to more classical economics. The importance of the problem relies in the fact that the departure from uncorrelated behavior would imply the presence of not-random effects which, in principle, can be exploited for arbitr...
متن کاملOn the Predictability of Price Fluctuations in Tehran Stock Exchange A Correlation Dimension Estimation Approach
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 p...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2013