政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/119686

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政大機構典藏 > 商學院 > 統計學系 > 期刊論文 > Item 140.119/119686

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題名:	Applications of linear ordinary differential equations and dynamic system to economics – an example of Taiwan stock index TAIEX
作者:	Chen, Nien-Ping 李明融 Li, Meng-Rong Tsung-Jui, Chiang-Lin 李詠玄 Lee, Young-Shiuan
貢獻者:	統計博六
關鍵詞:	Newton`s law of cooling;nonlinear dynamic system;ordinary differential equation;stock index closing price;Taiwan Stock Exchange Capitalisation Weighted Stock Index
日期:	2017-08
上傳時間:	2018-08-28 14:28:17 (UTC+8)
摘要:	Mean reversion of stock price is an observed phenomenon in finance. It is similar to the concept of Newton`s law of cooling. Three models of ordinary differential equation are derived from the concept and solved by dynamic integration. The models are applied to the daily closing price of Taiwan Stock Exchange Capitalisation Weighted Stock Index. Empirical study shows that the models have good fits and forecasts although errors appear during the dynamic forecasting process. The applicability of the models and future modification are also discussed.
關聯:	International Journal of Dynamical Systems and Differential Equations, Vol.7, No.2, pp.95-111
資料類型:	article
DOI 連結:	https://doi.org/10.1504/IJDSDE.2017.085824
DOI:	10.1504/IJDSDE.2017.085824
顯示於類別:	[統計學系] 期刊論文

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