Please use this identifier to cite or link to this item: https://doi.org/10.1109/ICCA.2007.4376835
Title: Modeling of stock markets with mean reversion
Authors: Eng, M.H.
Wang, Q.-G. 
Keywords: Mean reversion
Issue Date: 2008
Source: Eng, M.H.,Wang, Q.-G. (2008). Modeling of stock markets with mean reversion. 2007 IEEE International Conference on Control and Automation, ICCA : 2615-2618. ScholarBank@NUS Repository. https://doi.org/10.1109/ICCA.2007.4376835
Abstract: In this article we present a method for modeling and estimating the stock market with a mean reverting characteristic. Mean reversion is the tendency for the market to move back to an equilibrium level. The random walk description of stock markets has certain inaccuracies as such a process may diverge over time, resulting in negative or infinite values. There is no longer an acceptable model which can be effectively used to simulate the stock market. However, the mean reverting property exhibited by financial markets has been recognized by theorists. We analyze two methods of estimating the parameters of the model, Least Square Estimation and Maximum Likelihood Estimation. Using monthly data of the Dow Jones Industrial Average and the Singapore Straits Times Index, we compare the performance of these two methods. © 2007 IEEE.
Source Title: 2007 IEEE International Conference on Control and Automation, ICCA
URI: http://scholarbank.nus.edu.sg/handle/10635/70996
ISBN: 1424408180
DOI: 10.1109/ICCA.2007.4376835
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

Page view(s)

10
checked on Jan 12, 2018

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.