An Empirical Analysis on Forecasting Stock Price

摘要：

In this empirical analysis of Shanghai Composite Index, we focus on the relationship between maximum Lyapunov exponent, fractal dimension and stock price. The former one is to measure the chaos degree of the market. And under relatively weak chaos condition, fractal dimension, which is defined by Hurst exponent, is found to be an ideal prediction of stock price. Both of maximum Lyapunov exponent and fractal dimension show their potential in risk management and detecting financial bubbles.

作者: Hanchao Yang

作者单位: School of System and Enterprises Stevens Institute of Technology Hoboken, U.S.

会议类型: 国际会议

会议名称: International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)

会议地点: 武汉

会议语种:英文

页码: 1-3

在线出版日期: 2011-08-12（万方平台首次上网日期，不代表论文的发表时间）