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    政大機構典藏 > 商學院 > 統計學系 > 期刊論文 >  Item 140.119/119686
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/119686


    Title: Applications of linear ordinary differential equations and dynamic system to economics – an example of Taiwan stock index TAIEX
    Authors: Chen, Nien-Ping
    李明融
    Li, Meng-Rong
    Tsung-Jui, Chiang-Lin
    李詠玄
    Lee, Young-Shiuan
    Contributors: 統計博六
    Keywords: 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
    Issue Date: 2018-08-28 14:28:17 (UTC+8)
    Abstract: 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
    Data Type: article
    DOI 連結: https://doi.org/10.1504/IJDSDE.2017.085824
    DOI: 10.1504/IJDSDE.2017.085824
    Appears in Collections:[統計學系] 期刊論文

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