Paper Title:
Forecasting Volatility in Financial Markets
  Abstract

In this paper, we analyze the stock of Tsingtao Brewery Co Ltd for the 8-year period, from July 31, 2001, to September 11, 2009, a total of 2003 trading days. Using the False Nearest Neighbors method, we obtain the embedding dimension m in the k-nearest neighbour Algorithm. In order to investigate the validity of this method, we apply the modified method to the daily adjusted opening values of the Tsingtao Brewery Co Ltd. We find that the prediction of experimental results is more accurate than traditional methods.

  Info
Periodical
Key Engineering Materials (Volumes 439-440)
Edited by
Yanwen Wu
Pages
679-682
DOI
10.4028/www.scientific.net/KEM.439-440.679
Citation
H. Zhang, S. F. Li, "Forecasting Volatility in Financial Markets", Key Engineering Materials, Vols. 439-440, pp. 679-682, 2010
Online since
June 2010
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