This paper employs a general non-linear analysis tool to analyse the nature of time series associated with the price (returns) of a particular company in Tehran Stock Exchange. It is shown that the behavior of the process associated with the price (returns) time-series of this company is weakly chaotic, and due to the non-random behavior of the process, short term prediction of stock price is possible. It is also shown, using the correlation dimension estimation analysis, that a modeling of the price fluctuations based solely on the price data is insufficient to establish a model for future price prediction and that other variables involved in the process must be accounted for.
H. Khaloozadeh, , & A. Khaki Sedigh and C. Lucas, (1999). On the Predictability of Price Fluctuations in Tehran Stock Exchange A Correlation Dimension Estimation Approach. Journal of Advanced Materials in Engineering (Esteghlal), 18(1), 193-200.
MLA
H. Khaloozadeh; A. Khaki Sedigh and C. Lucas. "On the Predictability of Price Fluctuations in Tehran Stock Exchange A Correlation Dimension Estimation Approach", Journal of Advanced Materials in Engineering (Esteghlal), 18, 1, 1999, 193-200.
HARVARD
H. Khaloozadeh, , A. Khaki Sedigh and C. Lucas, (1999). 'On the Predictability of Price Fluctuations in Tehran Stock Exchange A Correlation Dimension Estimation Approach', Journal of Advanced Materials in Engineering (Esteghlal), 18(1), pp. 193-200.
VANCOUVER
H. Khaloozadeh, , A. Khaki Sedigh and C. Lucas, On the Predictability of Price Fluctuations in Tehran Stock Exchange A Correlation Dimension Estimation Approach. Journal of Advanced Materials in Engineering (Esteghlal), 1999; 18(1): 193-200.
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