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《Journal of Shaanxi University of Science & Technology(Natural Science Edition)》 2015-04
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AR process in stock price on the basis of momentum theorem and decay theory

ZHANG Mao;School of Business,China University of Political Science and Law;  
The change of price in stock market has the trend of going on the original direction of movement,which can be expressed as autoregressive characteristics in statistics.This paper studies the autoregressive progress of price series using the nonlinear cumulative characteristics of momentum theorem.Then,we describe the attenuation force from historical price on later price using the decay theory and build momental autoregressive process.The momental autoregressive process could accurately simulate the complex features of economic system in two-dimensional form employing sectionalized cumulative method.Finally,the empirical results show that the momental AR process forecasts more accuracy than the traditional AR process,indicating the proposed momental AR process is consistent with the evolution law of price series.
【CateGory Index】: O212.1;F830.91
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1 ZHANG Mao;GUO Kun;School of Business,China University of Political Science and Law;Research Center on Fictitious Economics and Data Science,Chinese Academy of Sciences;;ARVMA PROCESS AND ITS EMPIRICAL RESEARCH BASED ON VECTOR DIFFERENCE IN AN ISOCHRONAL CIRCLE[J];Journal of Systems Science and Mathematical Sciences;2015-02
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1 ZHANG Mao;Business School,China University of Political Science and Law;;Two-Dimensional PAR Process and Its Empirical Research Based on Kinetic Vector Addition[J];Journal of Chongqing University of Technology(Natural Science);2015-06
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