Forecasting volatility in financial markets

被引：3
|
作者：
Zhang, Hong [1 ]
Li, Shufang [2 ]
机构：
[1] Hebei Univ Engn, Dept Math, Handan, Peoples R China
[2] Hebei Univ Engn, Acad Administrat, Handan, Peoples R China
来源：
ADVANCED MEASUREMENT AND TEST, PARTS 1 AND 2 | 2010年 / 439-440卷
关键词：
k-Nearest Neighbour Algorithm; financial market; state vector;
D O I：
10.4028/www.scientific.net/KEM.439-440.679
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
In this paper, we analyze the stock of Tsingtao Brewery Co Ltd for the 8-year period, from July 31, 2001, to September 11, 2009, a total of 2003 trading days. Using the False Nearest Neighbors method, we obtain the embedding dimension m in the k-nearest neighbour Algorithm. In order to investigate the validity of this method, we apply the modified method to the daily adjusted opening values of the Tsingtao Brewery Co Ltd. We find that the prediction of experimental results is more accurate than traditional methods.
引用
收藏
页码：679 / +
页数：2
相关论文
共 50 条
12345