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Embedding the New York Stock Exchange

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Embedding the New York Stock Exchange

Best, Randall (1999) Embedding the New York Stock Exchange. Masters thesis, Concordia University.

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Abstract

Given data in a time series we will create a phase space using methods based upon the work of Takens and Whitney. Our phase space will be approximated using a single record observed s (n ) of the New York Stock Exchange. This procedure of creating a phase space will create a complete vector space by defining s (n ) to be the first coordinate, s (n + T ) the second and s (n + ( DE - 1)T ) the last coordinate, where T is a suitable delay and DE is the embedding dimension. The observed phase space will be shown to be chaotic in its behavior and a reconstructed attractor in the phase space will provide us with predictions of future the stock market prices. All algorithms for computation are written in Borland C++ version 5.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Thesis (Masters)
Authors:Best, Randall
Pagination:v, 55 leaves : ill. ; 29 cm.
Institution:Concordia University
Degree Name:Theses (M.A.)
Program:Mathematics and Statistics
Date:1999
Thesis Supervisor(s):Gora, Pawel
ID Code:908
Deposited By:Concordia University Libraries
Deposited On:27 Aug 2009 13:15
Last Modified:08 Dec 2010 10:17
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