Volume 18, Issue 1 (4-1999)                   jame 1999, 18(1): 193-200 | Back to browse issues page

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Abstract:   (4223 Views)
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.
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Type of Study: Research | Subject: General
Received: 2014/10/25 | Published: 1999/04/15