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Applying Time Series Analysis Builds Stock Price Forecast Model

Author

Listed:
  • Jun Zhang
  • Rui Shan
  • Wenfang Su

Abstract

Time series analysis is a theory that used random process and mathematical statistics theory to analyze time .It is apply comprehensive to national economy macroeconomic adjustment and control, area complex development plan, enterprise operating management, market potential forecasting, weather hydrology prediction. It is an important means for estimation and forecast. The stock price has very deep effect to the economic benefits of the nation and the macro-economy policy. So people pay close attention to it. In this article, SSE composite index of one year is fitted two kinds of time series models, then forecast in short-time. Comparing the estimated valve with the true valve, the result is the relative error is small. So I think the model is suited to the data. At last, compare the two models.

Suggested Citation

  • Jun Zhang & Rui Shan & Wenfang Su, 2009. "Applying Time Series Analysis Builds Stock Price Forecast Model," Modern Applied Science, Canadian Center of Science and Education, vol. 3(5), pages 152-152, May.
    • Handle: RePEc:ibn:masjnl:v:3:y:2009:i:5:p:152
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    Cited by:

    1. Shamshuritawati Sharif & Maman Djauhari, 2012. "A Proposed Centrality Measure: The Case of Stocks Traded at Bursa Malaysia," Modern Applied Science, Canadian Center of Science and Education, vol. 6(10), pages 1-62, October.

    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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