Application of filtering theory for optimum strategies in stock market investment
Cheng, Teddy Man Lai (1997) Application of filtering theory for optimum strategies in stock market investment. Masters by Research thesis, Queensland University of Technology.
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|Item Type:||QUT Thesis (Masters by Research)|
|Additional Information:||Presented to the Signal Processing Research Centre, Queensland University of Technology.|
|Keywords:||Stocks Prices Mathematical models, Investments Mathematical models, Filters (Mathematics), forecast, stock market, Kalman filter, time series, long-memory, short-memory, differencing, fractional differencing, ARMA, ARIMA, ARFIMA, Hurst coefficient, rescale-range, state-space, Whittle estimator, maximum likelihood, fractal, random walk, thesis, masters|
|Institution:||Queensland University of Technology|
|Copyright Owner:||Copyright Teddy Man Lai Cheng|
|Deposited On:||22 Sep 2010 23:04|
|Last Modified:||09 Feb 2011 23:56|
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