Deterministic chaos and forecasting in Amazon’s share prices

IF 5 Q1 ECONOMICS

Equilibrium-Quarterly Journal of Economics and Economic Policy Pub Date : 2020-06-24 DOI:10.24136/eq.2020.012

M. Hanias, Stefanos Tsakonas, L. Magafas, E. Thalassinos, L. Zachilas

引用次数: 2

Abstract

Research background: The application of non-linear analysis and chaos theory modelling on financial time series in the discipline of Econophysics. Purpose of the article: The main aim of the article is to identify the deterministic chaotic behavior of stock prices with reference to Amazon using daily data from Nasdaq-100. Methods: The paper uses nonlinear methods, in particular chaos theory modelling, in a case study exploring and forecasting the daily Amazon stock price. Findings & Value added: The results suggest that the Amazon stock price time series is a deterministic chaotic series with a lot of noise. We calculated the invariant parameters such as the maxi-mum Lyapunov exponent as well as the correlation dimension, managed a two-days-ahead forecast through phase space reconstruction and a grouped data handling method.

查看原文本刊更多论文

亚马逊股价的确定性混乱和预测

研究背景：金融时间序列的非线性分析和混沌理论建模在经济学学科中的应用。本文的目的：本文的主要目的是利用纳斯达克100指数的每日数据，识别亚马逊股价的确定性混沌行为。方法：本文采用非线性方法，特别是混沌理论建模，对亚马逊的日股价进行了探索和预测。研究结果与附加值：研究结果表明，亚马逊股价时间序列是一个具有大量噪声的确定性混沌序列。我们计算了不变参数，如最大李雅普诺夫指数和相关维数，通过相空间重构和分组数据处理方法管理了两天的预测。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Equilibrium-Quarterly Journal of Economics and Economic Policy ECONOMICS-

CiteScore

9.20

自引率

3.50%

发文量

审稿时长

36 weeks

期刊介绍： Equilibrium. Quarterly Journal of Economics and Economic Policy is a scientific journal dedicated to economics, which is the result of close cooperation between the Instytut Badań Gospodarczych/Institute of Economic Research (Poland) and Polish Economic Society and leading European universities. The journal constitutes a platform for exchange of views of the scientific community, as well as reflects the current status and trends of world science and economy. The journal especially welcome empirical articles making use of quantitative methods in: Macroeconomics and Monetary Economics, International Economics, Financial Economics and Banking, Public Economics, Business Economics, Labor and Demographic Economics, Economic Development, and Technological Change, and Growth. Current most preferable topics and special issues: The economics of artificial intelligence: business potentials and risks; Digitalization and entrepreneurship in economics; Sustainable socio-economic development, environmental and ecological economics; Transition in the energy market (improving energy efficiency, alternative energy sources, renewable energy, energy security).