Forecasting the Stock Option Prices by Using the Fractal Geometry and its Application

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概要

• 論文の詳細を見る

• This paper deals with the forecasting method for the time series bearing fractal geometry. The method is applied to the forecast of stock price and option premium, and the results shows better performance of investment compared to the conventional methods. At first, the time series is represented by the convolution of the impulse response expanded by a set of scaling function and the input signal. Then, by using the time scale expansion future stock prices are estimated. An indicator showing whether the stock price is fractal is also shown.

• 日本情報経営学会の論文
• 1996-11-01

著者

• Tokinaga Shozo

  Faculty Of Economics Kyushu University

• IKEDA Kinji

  Faculty of Economics, Kyushu University

• Ikeda Kinji

  Faculty Of Economics Kyushu University

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• Forecasting the Stock Option Prices by Using the Fractal Geometry and its Application

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