Computer simulations with Mathematica: explorations in complex physical and biological systems
Computer simulations with Mathematica: explorations in complex physical and biological systems
Neural Network Time Series Forecasting of Financial Markets
Neural Network Time Series Forecasting of Financial Markets
Forecasting Thailand's rice export: Statistical techniques vs. artificial neural networks
Computers and Industrial Engineering
Computers and Industrial Engineering
Forecasting model of global stock index by stochastic time effective neural network
Expert Systems with Applications: An International Journal
The use of data mining and neural networks for forecasting stock market returns
Expert Systems with Applications: An International Journal
Fluctuations of stock price model by statistical physics systems
Mathematical and Computer Modelling: An International Journal
Volatility clustering and long memory of financial time series and financial price model
Digital Signal Processing
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We investigate and compare the scaling behaviors of the return intervals for Shanghai composite index and a financial model, where the financial price model is developed by the stochastic lattice percolation theory (a random network). For the different values of threshold, the probability density functions of the return intervals for both Shanghai composite index and the simulation data are analyzed and described by the computer computations and simulations, and the trends of the corresponding distributions are also studied by the empirical research. Further, according to the randomness and the nonlinear nature of return interval, the artificial neural network which has the strong non-linear approximation capability is introduced to train and forecast the fluctuations of the return intervals for the real and the simulative data.