FORECASTING MODEL FOR CAPITAL MARKET BASED FRACTAL INTERPOLATING
The fluctuation of stock price is complex and irregular. However, the variety is obedient to self- similarity and similar periodicity. Thus the price series of capital market have the main characters of Fractal Market Hypothesis. Firstly, fractal character in capital market and fractal interpolating were discussed, structure figure and forecasting mechanism of fractal sets in capital market were analyzed through constructing an Iterated Function System (IFS). Secondly,the IFS is worked out whose attractor is closed to the price series, and the forecasting model for capital market based on fractal interpolating is established. Finally, the fractal Brownian motion model and R/S analyse for stock price of JINNIU Energy were designed, and the relativity and biased random walk were analyzed. The result of numerical examples further show validity and practicability of the fractal interpolating forecast model. All of these supply a forecasting method for analysis and decision-making in capital market.
Capital market Fractal interpolating Forecast R/S analyse
Xu Liang
School of Management, China University of Mining & Technology, Beijing, China
国际会议
北京
英文
2007-11-01（万方平台首次上网日期，不代表论文的发表时间）