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RISInvestigation of fractal market hypothesis and forecasting time series stock returns for Tehran Stock Exchange and London Stock Exchange
Year: 2019
Abstract:
An alternative investment theory to the widely utilized efficient market hypothesis, fractal market hypothesis analyses the daily randomness of the market and the turbulence witnessed during crashes and crises. The framework ...
Investigation of Market efficiency between S&P 500 and London Stock Exchange : monthly and yearly Forecasting of Time Series Stock Returns Using ARMA model
Year: 2016
Abstract:
We investigated the presence of, and changes in, long memory features in the returns and volatility dynamics of S&P 500 and London Stock Exchange Using ARMA model. Recently, multifractal analysis has been evolved as an ...
Stock price forecasting for companies listed on Tehran stock exchange using multivariate adaptive regression splines model and semi-parametric splines technique
Year: 2015
Abstract:
One of the most important topics of interesttoinvestorsisstockpricechanges.Investors
whosegoalsarelongtermaresensitivetostockpriceanditschangesandreacttothem.
Inthisregard,weusedmultivariateadaptiveregressi ...