Title: Application nonlinear analysis to high-frequency time series of the Shanghai stock market
Abstract:In order to obtain the predictability of high frequency time series,this paper develops state space reconstruction and divergence calculation techniques have been for t+1 temporal trend of stock index...In order to obtain the predictability of high frequency time series,this paper develops state space reconstruction and divergence calculation techniques have been for t+1 temporal trend of stock index.State space reconstruction techniques preserve certain information on original time series which describes the asymptotic behavior of the system.By describing the asymptotic behavior,the properties of the system will be shown better when time t is large enough,that is,t→∞.Divergence calculation of dynamical system is used to describe the characterisation of system and analyse the temporal trend.The divergence is locally equivalent to the trace of the Jacobian and measures the rate of change of an infinitesimal state space volume V(t) following an orbit x(t).This paper forecasts the t+1 temporal trend of the Shanghai stock market composite index based on 5-minute high-frequency time series and gets a satisfied result compared with the actual trend.Read More
Publication Year: 2007
Publication Date: 2007-01-01
Language: en
Type: article
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot