The Establishment of the Mode for Price Fluctuation of Financial Market and the Prediction of its Tendency

Yan Ying Gao; Na Lv

doi:10.4028/www.scientific.net/AMM.401-403.1444

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 401-403The Establishment of the Mode for Price...

The Establishment of the Mode for Price Fluctuation of Financial Market and the Prediction of its Tendency

Abstract:

The financial world is an uncertain universe where events take place every day, every hour, and every second. Information arrives completely randomly and so do the events. The operations in business activities are continually affected by these events beyond the control of the management. One of the most significant examples in financial economics is the most recent economic-financial crisis of 2008-2009 caused by the collapse of Lehman Brothers Holdings Inc.. The aim of this study is to investigate the statistical properties of the empirical data based on time series of the RFTSE100, RS&P500 and forecast one-step-ahead returns for three months. Additionally, we study the behavior of volatility, which is currently determined as a measure for variation of price or return of a financial instrument over time.

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Periodical:

Applied Mechanics and Materials (Volumes 401-403)

Pages:

1444-1448

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.401-403.1444

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Online since:

September 2013

Authors:

Yan Ying Gao, Na Lv

Keywords:

ARIMA Model, Time Series

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