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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ID Code: 36039
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 13:04
Last Modified: 29 Oct 2015 03:51

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