one of the latest approaches for analyzing the coupled time series is mf-dxa. this technique has been used in many disciplines such as finance. in this paper, we have analyzed tehran stock exchange indexes by mf-dxa and have found a scaling behavior between the industrial, financial and price indexes. by surrogating, we could see that the effects of low probability events in industrial and fina...

We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor’s 500 (S&P 500), Nikkei stock average index, and Korean composition stock price index (KOSPI). Based on a microscopic spin model, we also find that these statistical...

the difficulty of determining intrinsic value of stock prices have led many people to use technical analysis in order to forecast stock prices in the future. to predict the stock price we need to determine the generating process of stock prices. in recent years many time - series methods have been used for forecasting purposes. one of these methods is the rescaled range analysis (ris). in the a...

Investors and scholars pay continuous attention to the stock market, as each day, many investors attempt to use different methods to predict stock price trends. However, as stock price is affected by economy, politics, domestic and foreign situations, emergency, human factor, and other unknown factors, it is difficult to establish an accurate prediction model. This study used a back-propagation...

Stock market is affected by news and information. If the stock market is not efficient, the reaction of stock price to news and information will place the stock market in overreaction and under-reaction states. Many models have been already presented by using different tools and techniques to forecast the stock market behavior. In this study, the reaction of stock price in the stock market was ...

This paper presents the basic framework of a comprehensive computational theory of stock market behavior, which we call Swingtum, taking multivariate stock index time series data as input, and producing probabilistic predictions of stock index movement at multiple time frames. The theory should also be applicable to other liquid markets. The Swingtum theory is based on the view that the movemen...

This paper identi®es four categories of formal stock market in Africa: South Africa, medium-sized markets, small new markets which have experienced rapid growth, and small new markets which have yet to take o€ . The hypothesis that a stock market price index follows a random walk is tested for South Africa, ®ve medium-sized markets (Egypt, Kenya, Morocco, Nigeria and Zimbabwe) and two small new...