Multivariate Nonlinear Prediction of Shenzhen Stock Price

摘要：

In this paper, an attempt is made to predict stock price movement on Shenzhen stock market of China with nonlinear dynamical theory. Multivariate nonlinear prediction method based on multidimensional phase space reconstruction is considered. We propose a multivariate nonlinear model in forecasting stock price, and compare the prediction accuracy of our model with univariate nonlinear prediction model. The results show that multivariate nonlinear prediction model outperforms univariate nonlinear prediction model. Multivariate nonlinear prediction model is a useful tool for stock price prediction in emerging markets.

作者: Lixia Liu Junhai Ma

作者单位: School of Management Tianjin University, Tianjin 300072, P.R.China

会议类型: 国际会议

会议名称: 第三届IEEE无线通讯、网络技术暨移动计算国际会议

会议地点: 上海

会议语种:英文

在线出版日期: 2007-09-21（万方平台首次上网日期，不代表论文的发表时间）