Short-Term Price Prediction and the Selection of Indicators(Financial and Consumer Markets,Econophysics-Physical Approach to Social and Economic Phenomena-) :

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Author(s)

Abstract

Although the prediction of the future price is known to be hard due to the strong randomness inherent in the price fluctuation, intra-day price movements are expected to be predicted by reading out the patterns observed in tick-wise price motions. Our first task on this line of thought is to identify the set of effective variables suitable for studying the problem. We have first constructed a price prediction generator that computes the best prediction by reading the data tick by tick. We report in this article the effect of the adaptive choice of the best combination of technical indicators out of ten popular indicators, and also the result of using a set of novel dimensionless dynamical indicators constructed from the local values of derivatives and the second derivatives of the price times series. We have obtained a good performance of nearly 70 percent of correctly predicted direction of motion at 10 ticks ahead of the prediction time by means of adaptive choice of the technical indicators, and even better performance in the second attempt of using the two dimensionless dynamical indicators.

Although the prediction of the future price is known to be hard due to the strong randomness inherent in the price fluctuation, intra-day price movements are expected to be predicted by reading out the patterns observed in tick-wise price motions. Our first task on this line of thought is to identify the set of effective variables suitable for studying the problem. We have first constructed a price prediction generator that computes the best prediction by reading the data tick by tick. We report in this article the effect of the adaptive choice of the best combination of technical indicators out of ten popular indicators, and also the result of using a set of novel dimensionless dynamical indicators constructed from the local values of derivatives and the second derivatives of the price times series. We have obtained a good performance of nearly 70 percent of correctly predicted direction of motion at 10 ticks ahead of the prediction time by means of adaptive choice of the technical indicators, and even better performance in the second attempt of using the two dimensionless dynamical indicators.

Journal

  • Progress of theoretical physics. Supplement

    Progress of theoretical physics. Supplement (179), 17-25, 2009

    Progress of Theoretical Physics

References:  14

Codes

  • NII Article ID (NAID)
    110007225735
  • NII NACSIS-CAT ID (NCID)
    AA00791466
  • Text Lang
    ENG
  • Article Type
    ART
  • ISSN
    03759687
  • NDL Article ID
    10225411
  • NDL Source Classification
    ZM35(科学技術--物理学)
  • NDL Call No.
    Z53-A468
  • Data Source
    CJP  NDL  NII-ELS  IR  NDL-Digital 
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