Please use this identifier to cite or link to this item: https://doi.org/10.1109/ICCA.2007.4376835
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dc.titleModeling of stock markets with mean reversion
dc.contributor.authorEng, M.H.
dc.contributor.authorWang, Q.-G.
dc.date.accessioned2014-06-19T03:18:40Z
dc.date.available2014-06-19T03:18:40Z
dc.date.issued2008
dc.identifier.citationEng, 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. <a href="https://doi.org/10.1109/ICCA.2007.4376835" target="_blank">https://doi.org/10.1109/ICCA.2007.4376835</a>
dc.identifier.isbn1424408180
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/70996
dc.description.abstractIn 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1109/ICCA.2007.4376835
dc.sourceScopus
dc.subjectMean reversion
dc.typeConference Paper
dc.contributor.departmentELECTRICAL & COMPUTER ENGINEERING
dc.description.doi10.1109/ICCA.2007.4376835
dc.description.sourcetitle2007 IEEE International Conference on Control and Automation, ICCA
dc.description.page2615-2618
dc.identifier.isiutNOT_IN_WOS
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