| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5103121 | Physica A: Statistical Mechanics and its Applications | 2017 | 32 Pages |
Abstract
A new differential equation based model for stock price trend forecast is proposed as a tool to investigate efficiency in an emerging market. Its predictive power showed statistically to be higher than the one of a completely random model, signaling towards the presence of arbitrage opportunities. Conditions for accuracy to be enhanced are investigated, and application of the model as part of a trading strategy is discussed.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Charlene C. de Resende, Adriano C.M. Pereira, Rodrigo T.N. Cardoso, A.R. Bosco de Magalhães,