کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
469778 698353 2008 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Deterministic regression model and visual basic code for optimal forecasting of financial time series
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Deterministic regression model and visual basic code for optimal forecasting of financial time series
چکیده انگلیسی

A new, non-statistical method is presented for analysis of the past history and current evolution of economic and financial processes. The method is based on the sliding model approach using linear differential or difference equations applied to discrete information in the form of known chronological data (time series) about the process. An algorithm is proposed that allows one to project the current evolution of the process onto some period of its future development. Computer code in visual basic is developed that has been validated in application to American stock index S&P 500, with predicted values within 5% of real data over long periods of the recent past history. The algorithm and the code can be applied to practical problems in finance and economy in time of its normal evolution without catastrophic events.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Mathematics with Applications - Volume 56, Issue 10, November 2008, Pages 2757–2771
نویسندگان
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