- Tytuł:
- Deterministic chaos and forecasting in Amazon?s share prices
- Autorzy:
-
Hanias, Michael
Tsakonas, Stefanos
Magafas, Lykourgos
Thalassinos, Eleftherios I.
Zachilas, Loukas - Powiązania:
- https://bibliotekanauki.pl/articles/22444422.pdf
- Data publikacji:
- 2020
- Wydawca:
- Instytut Badań Gospodarczych
- Tematy:
-
time series
chaos theory
econophysics
forecasting - Opis:
- Research background: The application of non-linear analysis and chaos theory modelling on financial time series in the discipline of Econophysics. Purpose of the article: The main aim of the article is to identify the deterministic chaotic behavior of stock prices with reference to Amazon using daily data from Nasdaq-100. Methods: The paper uses nonlinear methods, in particular chaos theory modelling, in a case study exploring and forecasting the daily Amazon stock price. Findings & Value added: The results suggest that the Amazon stock price time series is a deterministic chaotic series with a lot of noise. We calculated the invariant parameters such as the maxi-mum Lyapunov exponent as well as the correlation dimension, managed a two-days-ahead forecast through phase space reconstruction and a grouped data handling method.
- Źródło:
-
Equilibrium. Quarterly Journal of Economics and Economic Policy; 2020, 15, 2; 253-273
1689-765X
2353-3293 - Pojawia się w:
- Equilibrium. Quarterly Journal of Economics and Economic Policy
- Dostawca treści:
- Biblioteka Nauki
Artykuł