Price forecasting using the non-linear model of chaos theory in Tehran Stock Exchange (Chemical Industries)
Journal Title: Journal of Science and today’s world - Year 2016, Vol 5, Issue 5
Abstract
The importance of chemical industries is evident nowadays. The chemical industries in any country are considered as one of the main components of the economy. With acceptance of chemical industries into Stock Exchange in Iran the importance of these industries has highly increased in trading in Iran. Whether the investors can forecast the future trend of the price of their stocks or the stocks they want to buy has been a fundamental question. In this study, using chaos theory and correlation dimension estimation test, price behavior of the stocks of six chemical industries was explored and the stocks’ price time series were studied from they entered stock exchange. Finally, different industries were ranked in terms of complicatedness of forecasting process and chaoticness of stock behavior and using the changes made in the three non-linear chaotic attractors including Henon, Lorenz Atrractor and Rossler Chaos, we turned them into models that have forecasting ability. And the designed models were used for forecasting price of the stocks of chemical industries in a twenty-day time period and then the difference between the forecasted values and real values were calculated for each industry model separately.
Authors and Affiliations
Meysam Mohammadi, Mozhgan Mohammadi, Mohammad Mohammadi
Keywords
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