Modeling and forecasting of stock markets under a system adaptation framework

DOI10.1007/s11424-012-1034-0zbMath1283.91190OpenAlexW2009881944MaRDI QIDQ2439872

Xiaolian Zheng, Chen, Ben M.

Publication date: 18 March 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-012-1034-0

zbMATH Keywords

complex systemsfinancial modelingfinancial systemsmarket forecastingsystem economics

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Adaptive control/observation systems (93C40) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic systems in control theory (general) (93E03) Large-scale systems (93A15)

Related Items (2)

Identification of stock market forces in the system adaptation framework ⋮ Detecting stock market turning points using wavelet leaders method

Uses Software

• fminsearch
• CAPTAIN

Cites Work

• Parameter identification of multi-input, single-output systems based on FIR models and least squares principle
• A behavioral stock market model
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• A Random Walk or Color Chaos on the Stock Market? Time-Frequency Analysis of S&P Indexes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Estimating and Testing Linear Models with Multiple Structural Changes
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