Forecasting Volatility in Financial Markets
Year: 2010
Type: article
Abstract: In this paper, we analyze the stock of Tsingtao Brewery Co Ltd for the 8-year period, from July 31, 2001, to September 11, 2009, a total of 2003 trading days. Using the False Nearest Neighbors method, we obtain the embedding dimension m in the k-nearest neighbour Algorithm. In order to investigate the validity of this method, we apply the modified method to the daily adjusted opening values of the Tsingtao Brewery Co Ltd. We find that the prediction of experimental results is more accurate than traditional methods.
Source: Key engineering materials
Authors: Hong Zhang, Shu Fang Li
Institution: Hebei University of Engineering
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W2005151667