Author:
Bhatt S. J.,Dedania H. V.,Shah Vipul R.
Abstract
A predictability index for time series of a financial market vector consisting of chosen market parameters is suggested providing a measure of long range predictability of the market. It is based on fractional Brownian motion that includes Brownian motion as a particular case followed by the time series of financial market parameters. By analyzing respective time series, these indices are computed for parameters like volatility, FII investments in the local market, IIP numbers, CPI numbers, Dow Jones Index, different stock market indices, currency rates, and gold prices.
Cited by
5 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献