A new stock price prediction method using covariance information
| dc.contributor.author | Ghorbani, Mahsa, author | |
| dc.contributor.author | Chong, Edwin, author | |
| dc.date.accessioned | 2017-11-13T22:50:16Z | |
| dc.date.available | 2017-11-13T22:50:16Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | Stock price prediction is one of the most challenging problems in finance and is receiving considerable attention from researchers. The literature provides strong evidence that prices can be predicted from past price data as well as other fundamental and macroeconomic variables. We propose a filtering operation using covariance information in order to predict future stock prices. We use daily historical price data for Generals Electric Company to illustrate our method, which shows promising results in terms of the estimation performance and volatility. | en_US |
| dc.format.medium | born digital | |
| dc.format.medium | Student works | |
| dc.format.medium | posters | |
| dc.identifier.uri | https://hdl.handle.net/10217/184932 | |
| dc.language | English | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | Colorado State University. Libraries | en_US |
| dc.relation.ispartof | 2017 Projects | |
| dc.rights | Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright. | |
| dc.title | A new stock price prediction method using covariance information | en_US |
| dc.title.alternative | 114 - Mahsa Ghorbani | en_US |
| dc.type | Text | |
| dc.type | Image | |
| dcterms.rights.dpla | This Item is protected by copyright and/or related rights (https://rightsstatements.org/vocab/InC/1.0/). You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s). |
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