Forecasting Volatility in Financial Markets

Abstract:

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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 and 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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Price:

$35.00

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