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| Title | Applications of linear ordinary differential equations and dynamic system to economics – an example of Taiwan stock index TAIEX |
| Creator | Chen, Nien-Ping 李明融 Li, Meng-Rong Tsung-Jui, Chiang-Lin 李詠玄 Lee, Young-Shiuan |
| Contributor | 統計博六 |
| Key Words | Newton`s law of cooling; nonlinear dynamic system; ordinary differential equation; stock index closing price; Taiwan Stock Exchange Capitalisation Weighted Stock Index |
| Date | 2017-08 |
| Date Issued | 28-Aug-2018 14:28:17 (UTC+8) |
| Summary | Mean reversion of stock price is an observed phenomenon in finance. It is similar to the concept of Newton`s law of cooling. Three models of ordinary differential equation are derived from the concept and solved by dynamic integration. The models are applied to the daily closing price of Taiwan Stock Exchange Capitalisation Weighted Stock Index. Empirical study shows that the models have good fits and forecasts although errors appear during the dynamic forecasting process. The applicability of the models and future modification are also discussed. |
| Relation | International Journal of Dynamical Systems and Differential Equations, Vol.7, No.2, pp.95-111 |
| Type | article |
| DOI | https://doi.org/10.1504/IJDSDE.2017.085824 |
| dc.contributor | 統計博六 | |
| dc.creator (作者) | Chen, Nien-Ping | en_US |
| dc.creator (作者) | 李明融 | zh_TW |
| dc.creator (作者) | Li, Meng-Rong | en_US |
| dc.creator (作者) | Tsung-Jui, Chiang-Lin | en_US |
| dc.creator (作者) | 李詠玄 | zh_TW |
| dc.creator (作者) | Lee, Young-Shiuan | en_US |
| dc.date (日期) | 2017-08 | |
| dc.date.accessioned | 28-Aug-2018 14:28:17 (UTC+8) | - |
| dc.date.available | 28-Aug-2018 14:28:17 (UTC+8) | - |
| dc.date.issued (上傳時間) | 28-Aug-2018 14:28:17 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/119686 | - |
| dc.description.abstract (摘要) | Mean reversion of stock price is an observed phenomenon in finance. It is similar to the concept of Newton`s law of cooling. Three models of ordinary differential equation are derived from the concept and solved by dynamic integration. The models are applied to the daily closing price of Taiwan Stock Exchange Capitalisation Weighted Stock Index. Empirical study shows that the models have good fits and forecasts although errors appear during the dynamic forecasting process. The applicability of the models and future modification are also discussed. | en_US |
| dc.format.extent | 133 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | International Journal of Dynamical Systems and Differential Equations, Vol.7, No.2, pp.95-111 | |
| dc.subject (關鍵詞) | Newton`s law of cooling; nonlinear dynamic system; ordinary differential equation; stock index closing price; Taiwan Stock Exchange Capitalisation Weighted Stock Index | en_US |
| dc.title (題名) | Applications of linear ordinary differential equations and dynamic system to economics – an example of Taiwan stock index TAIEX | en_US |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1504/IJDSDE.2017.085824 | |
| dc.doi.uri (DOI) | https://doi.org/10.1504/IJDSDE.2017.085824 |