This paper employs a general non-linear analysis tool to analyse the nature of time series associated with the price (returns) of a particular company in Tehran Stock Exchange. It is shown that the behavior of the process associated with the price (returns) time-series of this company is weakly chaotic, and due to the non-random behavior of the process, short term prediction of stock price is possible. It is also shown, using the correlation dimension estimation analysis, that a modeling of the price fluctuations based solely on the price data is insufficient to establish a model for future price prediction and that other variables involved in the process must be accounted for.
H. Khaloozadeh, and A. Khaki Sedigh and C. Lucas, (1999). On the Predictability of Price Fluctuations in Tehran Stock Exchange A Correlation Dimension Estimation Approach. Journal of Computational Methods in Engineering, 18(1), 193-200.
MLA
H. Khaloozadeh, , and A. Khaki Sedigh and C. Lucas, . "On the Predictability of Price Fluctuations in Tehran Stock Exchange A Correlation Dimension Estimation Approach", Journal of Computational Methods in Engineering, 18, 1, 1999, 193-200.
HARVARD
H. Khaloozadeh, , A. Khaki Sedigh and C. Lucas, (1999). 'On the Predictability of Price Fluctuations in Tehran Stock Exchange A Correlation Dimension Estimation Approach', Journal of Computational Methods in Engineering, 18(1), pp. 193-200.
CHICAGO
H. Khaloozadeh and A. Khaki Sedigh and C. Lucas, "On the Predictability of Price Fluctuations in Tehran Stock Exchange A Correlation Dimension Estimation Approach," Journal of Computational Methods in Engineering, 18 1 (1999): 193-200,
VANCOUVER
H. Khaloozadeh, , A. Khaki Sedigh and C. Lucas, On the Predictability of Price Fluctuations in Tehran Stock Exchange A Correlation Dimension Estimation Approach. Journal of Computational Methods in Engineering, 1999; 18(1): 193-200.
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