基于ARMA系统的股价预测模型

2012 2nd International Conference on Advances in Computational Tools for Engineering Applications (ACTEA) Pub Date : 2012-12-01 DOI:10.1109/ICTEA.2012.6462880

M. F. Anaghi, Y. Norouzi

{"title":"基于ARMA系统的股价预测模型","authors":"M. F. Anaghi, Y. Norouzi","doi":"10.1109/ICTEA.2012.6462880","DOIUrl":null,"url":null,"abstract":"The Prediction of the future values of a stock market signal on the basis of its past and present data series, is one of the most necessities of all financial applications. In this study, one special stock market signal is considered and analyzed using “ARMA” model with different number of poles and zeros, in order to estimate the values for the next days` prices. The estimated and the actual data for the next day is compared and the amount of error for each system is calculated, resulting into selection of most efficient model.","PeriodicalId":245530,"journal":{"name":"2012 2nd International Conference on Advances in Computational Tools for Engineering Applications (ACTEA)","volume":"238 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"19","resultStr":"{\"title\":\"A model for stock price forecasting based on ARMA systems\",\"authors\":\"M. F. Anaghi, Y. Norouzi\",\"doi\":\"10.1109/ICTEA.2012.6462880\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The Prediction of the future values of a stock market signal on the basis of its past and present data series, is one of the most necessities of all financial applications. In this study, one special stock market signal is considered and analyzed using “ARMA” model with different number of poles and zeros, in order to estimate the values for the next days` prices. The estimated and the actual data for the next day is compared and the amount of error for each system is calculated, resulting into selection of most efficient model.\",\"PeriodicalId\":245530,\"journal\":{\"name\":\"2012 2nd International Conference on Advances in Computational Tools for Engineering Applications (ACTEA)\",\"volume\":\"238 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"19\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2012 2nd International Conference on Advances in Computational Tools for Engineering Applications (ACTEA)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/ICTEA.2012.6462880\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2012 2nd International Conference on Advances in Computational Tools for Engineering Applications (ACTEA)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICTEA.2012.6462880","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 19

摘要

基于过去和现在的数据序列预测股票市场信号的未来价值，是所有金融应用中最必要的应用之一。在本研究中，考虑并分析了一个特殊的股票市场信号，使用“ARMA”模型具有不同数量的极点和零，以估计未来几天的价格值。将第二天的估计数据和实际数据进行比较，并计算每个系统的误差量，从而选择最有效的模型。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

A model for stock price forecasting based on ARMA systems

The Prediction of the future values of a stock market signal on the basis of its past and present data series, is one of the most necessities of all financial applications. In this study, one special stock market signal is considered and analyzed using “ARMA” model with different number of poles and zeros, in order to estimate the values for the next days` prices. The estimated and the actual data for the next day is compared and the amount of error for each system is calculated, resulting into selection of most efficient model.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

2012 2nd International Conference on Advances in Computational Tools for Engineering Applications (ACTEA)

自引率

0.00%

发文量