Key engineering materials · 2010 · 153 citations · 10 references
BusinessEconomicsFinanceFinancial EconomicsForecastingTime Series AnalysisFinancial ForecastingFinancial Time Series AnalysisTime Series ForecastingTime Series PredictionVolatility AnalysisVolatility ModelingFinancial Time Series ForecastingGeneralized Autoregressive Conditional Heteroskedasticity ModelsHigh-dimensional Time Series ForecastingK-nearest NeighborsStock Return ForecastingTime Series Volatility ModelingVolatility ForecastingVolatility Modelling
In this paper, we analyze the stock of Tsingtao Brewery Co Ltd for the 8-year period, from July 31, 2001, to September 11, 2009, a total of 2003 trading days. Using the False Nearest Neighbors method, we obtain the embedding dimension m in the k-nearest neighbour Algorithm. In order to investigate the validity of this method, we apply the modified method to the daily adjusted opening values of the Tsingtao Brewery Co Ltd. We find that the prediction of experimental results is more accurate than traditional methods.
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