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This paper studies the Shanghai Stock Exchange (SSE) Composite Index, sample period of which spreads from December 16th 1996 to December 31st 2009. The index close prices, its logarithm, its logarithmic first differences, and its log linear detrended series are used. To judge the existence of chaotic dynamical features in time series, the technique of phase space reconstruction is applied. The C-C...
Nonlinear co-integration method is discussed. According to the generalized fractal co-integration relationship, one form of nonlinear co-integration is proposed based on GPH (Geweke, Porter-Hudak) method. Using the tests of the long-memory characteristic in finance time series, based on daily price series of RMB exchange rate and Shanghai stock markets from July 22, 2005 to April 24, 2009, empirical...
At present, most of the studies on the relationship between El Nino Southern Oscillation and agricultural futures focus on perceptual and directly data analysis. This article uses EMD algorithm on endpoints processed data to decompose wheat futures price into seven Intrinsic Mode Function and one Residue. Then do symbolic clustering combined with SSVS method and denoised ENSO index. The results not...
This paper proposes the prediction method for stock exchange of Thailand index (SET index). The proposed method was adapted from adding more important factors to the prediction function. This research takes into account both external and internal factors to forecast the SET index. The external factors are the historical movement of the world's major stock exchange market indices such as Dow Jones,...
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