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, and 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, 18(1), 193-200.
MLA
H. Khaloozadeh, , and 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, 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, 18(1), pp. 193-200.
CHICAGO
H. Khaloozadeh and 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, 18 1 (1999): 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. J Adv Mater Eng. 1999;18(1):193-200 (In Persian).
