Please use this identifier to cite or link to this item: https://doi.org/10.1109/ICCA.2009.5410216
DC FieldValue
dc.titleModeling and analysis of financial markets using system adaptation and frequency domain approach
dc.contributor.authorZheng, X.
dc.contributor.authorChen, B.M.
dc.date.accessioned2014-06-19T03:18:26Z
dc.date.available2014-06-19T03:18:26Z
dc.date.issued2009
dc.identifier.citationZheng, X., Chen, B.M. (2009). Modeling and analysis of financial markets using system adaptation and frequency domain approach. 2009 IEEE International Conference on Control and Automation, ICCA 2009 : 1068-1073. ScholarBank@NUS Repository. https://doi.org/10.1109/ICCA.2009.5410216
dc.identifier.isbn9781424447060
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/70974
dc.description.abstractIn this paper, we adopt the concept of feedback systems to model the behavior of financial markets, or more specifically, the stock market. Based on a feedback adaptation scheme, we model the price movement of a stock counter with an internal model using the well-known exponential moving average technique together with an adaptive filter, which is to be adjusted for an individual counter. Its input-output behavior, and internal as well as external forces are then identified. The estimated external force is analyzed and characterized in the frequency domain. Test results show that there are highly significant components contained in its frequency contents. The appearing time and locations of these components provide empirical indications of majoring turning points in the market and seasonality effects in stock returns. Statistical tests such as Bai-Perron test, Kruskal-Wallis H test and Mann-Whitney U test are employed to evidence these market properties. ©2009 IEEE.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1109/ICCA.2009.5410216
dc.sourceScopus
dc.typeConference Paper
dc.contributor.departmentELECTRICAL & COMPUTER ENGINEERING
dc.description.doi10.1109/ICCA.2009.5410216
dc.description.sourcetitle2009 IEEE International Conference on Control and Automation, ICCA 2009
dc.description.page1068-1073
dc.identifier.isiut000280542300184
Appears in Collections:Staff Publications

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

SCOPUSTM   
Citations

4
checked on Feb 6, 2023

Page view(s)

159
checked on Feb 2, 2023

Google ScholarTM

Check

Altmetric


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