Stock Market Modeling and Forecasting

A System Adaptation Approach

  • Xiaolian Zheng
  • Ben M. Chen

Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 442)

Table of contents

  1. Front Matter
    Pages 1-10
  2. Xiaolian Zheng, Ben M. Chen
    Pages 1-11
  3. Xiaolian Zheng, Ben M. Chen
    Pages 13-27
  4. Xiaolian Zheng, Ben M. Chen
    Pages 29-42
  5. Xiaolian Zheng, Ben M. Chen
    Pages 43-51
  6. Xiaolian Zheng, Ben M. Chen
    Pages 53-89
  7. Xiaolian Zheng, Ben M. Chen
    Pages 91-122
  8. Xiaolian Zheng, Ben M. Chen
    Pages 123-147
  9. Xiaolian Zheng, Ben M. Chen
    Pages 149-150
  10. Back Matter
    Pages 151-160

About this book

Introduction

Stock Market Modeling translates experience in system adaptation gained in an engineering context to the modeling of financial markets with a view to improving the capture and understanding of market dynamics. The modeling process is considered as identifying a dynamic system in which a real stock market is treated as an unknown plant and the identification model proposed is tuned by feedback of the matching error. Like a physical system, a stock market exhibits fast and slow dynamics corresponding to internal (such as company value and profitability) and external forces (such as investor sentiment and commodity prices) respectively. The framework presented here, consisting of an internal model and an adaptive filter, is successful at considering both fast and slow market dynamics. A double selection method is efficacious in identifying input factors influential in market movements, revealing them to be both frequency- and market-dependent.

 

The authors present work on both developed and developing markets in the shape of the US, Hong Kong, Chinese and Singaporean stock markets. Results from all these sources demonstrate the efficiency of the model framework in identifying significant influences and the quality of its predictive ability; promising results are also obtained by applying the model framework to the forecasting of major market-turning periods. Having shown that system-theoretic ideas can form the core of a novel and effective basis for stock market analysis, the book is completed by an indication of possible and likely future expansions of the research in this area.

Keywords

Dynamical Systems Financial Modeling Market Forecasting Stock Markets System Identification Systems Theory

Authors and affiliations

  • Xiaolian Zheng
    • 1
  • Ben M. Chen
    • 2
  1. 1., Department of Electrical andNational University of SingaporeSingaporeSingapore
  2. 2., Department of Electrical andNational University of SingaporeSingaporeSingapore

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4471-5155-5
  • Copyright Information Springer-Verlag London 2013
  • Publisher Name Springer, London
  • eBook Packages Engineering
  • Print ISBN 978-1-4471-5154-8
  • Online ISBN 978-1-4471-5155-5
  • Series Print ISSN 0170-8643
  • Series Online ISSN 1610-7411
  • About this book