دانلود رایگان مقاله بررسی کارایی بازار از طریق مدل پیش بینی بر اساس معادلات دیفرانسیل

عنوان فارسی
بررسی کارایی بازار از طریق یک مدل پیش بینی بر اساس معادلات دیفرانسیل
عنوان انگلیسی
Investigating market efficiency through a forecasting model based on differential equations
صفحات مقاله فارسی
0
صفحات مقاله انگلیسی
32
سال انتشار
2017
نشریه
الزویر - Elsevier
فرمت مقاله انگلیسی
PDF
کد محصول
E5352
رشته های مرتبط با این مقاله
اقتصاد
گرایش های مرتبط با این مقاله
اقتصاد پولی
مجله
فیزیک A: مکانیک آماری و کاربرد آن - Physica A: Statistical Mechanics and its Applications
کلمات کلیدی
بازار سهام، سری مالی، مدل معادلات دیفرانسیل، اقتصاد اکوفیزیک
چکیده

Abstract


A new differential equation based model for stock price trend forecast is proposed as a tool to investigate efficiency in an emerging market. Its predictive power showed statistically to be higher than the one of a completely random model, signaling towards the presence of arbitrage opportunities. Conditions for accuracy to be enhanced are investigated, and application of the model as part of a trading strategy is discussed. Keywords: Stock Markets, Financial Series, Differential Equation Models, Econophysics.

نتیجه گیری

4. Final Remarks


We proposed a model for stock price trend forecast based on differential equations that was used as a tool for the investigation of market efficiency. For a realistic situation, it is not expected that any model can accurately predict future prices. In the present case, this is reflected in the variability of the matrices that define the differential equations used to perform the forecasts at every time step. We expect, however, that even with such variation, some predictive power remains. Although predictability in trend forecasting does not always lead to arbitrage opportunity, which depends on factors such as the distributions of returns, the limitations of computational speed and communication, and trading fees, such predictability is at least market inefficiency clue.