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Future Research

  • Xiaolian Zheng
  • Ben M. Chen
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 442)

Abstract

We have documented in this monograph a system adaptation framework to systematically model the dynamics of the stock market. The framework consists of two parts: (i) an internal OE model, which is to capture the market slow dynamics, i.e., the market trends, and (ii) a time-varying adaptive filter, which is to capture the market fast dynamics corresponding to the influence of external forces.With appropriately selected input influential factors, OE model and adaptive filter, the system adaptation framework has shown to yield excellent prediction performance for the stock markets in the U.S., China, Singapore and Hong Kong. It has also been tested that the framework can be adopted to forecast the major turning periods in the stock market.

Keywords

Stock Market Internal Model Adaptive Filter Impactful Area Fundamental Structure 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer-Verlag London 2013

Authors and Affiliations

  1. 1.Department of Electrical and Computer EngineeringNational University of SingaporeSingaporeSingapore

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