Best, Randall (1999) Embedding the New York Stock Exchange. Masters thesis, Concordia University.
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)|
|Pagination:||v, 55 leaves : ill. ; 29 cm.|
|Thesis Supervisor(s):||Gora, Pawel|
|Deposited By:||Concordia University Libraries|
|Deposited On:||27 Aug 2009 17:15|
|Last Modified:||10 Apr 2017 21:40|
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