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Non Linear Analysis Of S&P Index

Author

Listed:
  • Michael Hanias

    (Kavala Institute of Technology, Greece)

  • Lykourgos Magafas

    (Kavala Institute of Technology, Greece)

  • P. Konstantaki

    (Kavala Institute of Technology, Greece)

Abstract

This paper applies non linear methods to analyze and predict the daily open S&P index which is one of the most important stock index in the world .The aim of the analysis is to quantitatively show if the corresponding time series is a deterministic chaotic one and if one or more days ahead prediction can be achieved. These results make the present work a valuable tool for traders investors and funds.

Suggested Citation

  • Michael Hanias & Lykourgos Magafas & P. Konstantaki, 2013. "Non Linear Analysis Of S&P Index," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 8(4), pages 125-135, December.
    • Handle: RePEc:pes:ierequ:v:8:y:2013:i:4:p:125-135
    DOI: 10.12775/EQUIL.2013.030
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    References listed on IDEAS

    as
    1. Hanias, M.P. & Giannaris, G. & Spyridakis, A. & Rigas, A., 2006. "Time series analysis in chaotic diode resonator circuit," Chaos, Solitons & Fractals, Elsevier, vol. 27(2), pages 569-573.
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    Citations

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    Cited by:

    1. Ayşe İşi & Fatih Çemrek, 2019. "Comparison of the Global, Local and Semi-Local Chaotic Prediction Methods for Stock Markets: The Case of FTSE-100 Index," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 7(2), pages 289-300, December.

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    More about this item

    Keywords

    Exchange rates; Time series; Chaos theory;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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