A Model for Stock Price Forecasting Based on ARMA Systems

被引：0
|
作者：
Anaghi, Mohamad Foad [1 ]
Norouzi, Yaser [1 ]
机构：
[1] Amirkabir Univ Technol, Dept Elect Engn, Tehran, Iran
来源：
2012 2ND INTERNATIONAL CONFERENCE ON ADVANCES IN COMPUTATIONAL TOOLS FOR ENGINEERING APPLICATIONS (ACTEA) | 2012年
关键词：
Autoregressive Moving Average(ARMA); Error in Mean Square sense; Concepts of Price and Return; White Gaussian Noise(WGN) signal;
D O I：
暂无
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
The Prediction of the future values of a stock market signal on the basis of its past and present data series, is one of the most necessities of all financial applications. In this study, one special stock market signal is considered and analyzed using "ARMA" model with different number of poles and zeros, in order to estimate the values for the next days prices. The estimated and the actual data for the next day is compared and the amount of error for each system is calculated, resulting into selection of most efficient model.
引用
收藏
页码：265 / 268
页数：4
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