文章基本信息

标题：PRICE TIME SERIES LONG MEMORY ANALYSIS AND PREDICTION STUDY
本地全文：下载
作者：XIAOBING CHENG ; MINGPING XIA ; RUIKAI PAN 等
期刊名称：Journal of Theoretical and Applied Information Technology
印刷版ISSN：1992-8645
电子版ISSN：1817-3195
出版年度：2013
卷号：49
期号：1
出版社：Journal of Theoretical and Applied
摘要：The R/S test has been extensively used in testing the long memory of financial time series, but little attentions have been paid on its validity. The paper sets the chemical raw materials styrene price time series as an example, to test the stable of the price series. It indicates that we should give prudent explanation for the R/S test, and then establish the ARFIMA model to determine the data generation process with fractal characteristics. Thus the fractal theory can be used to describe the price time series and provide theoretical support for the price time series forecasting.
关键词：Validity; Long memory; Forecasting