پیش بینی سطح امنیت سرمایه گذاری سهام با استفاده از آزمون RMT
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|52801||2013||10 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Procedia Computer Science, Volume 22, 2013, Pages 1172–1181
The authors propose to use the degree of randomness of high frequency price time series for the purpose of measuring the security levels of stock investments. The RMT-test is employed as a tool to measure the randomness. The data to be analyzed are the tick-wise price time series of selected stocks in the Tokyo Stock Exchange Market for three years from 2007 to 2009. The result shows that the stock of the highest randomness is a stable stock that belongs to the sector of electric/gas power supply, which turns out to be more profitable than the Nikkei Average Price throughout the following year. This indicates that the suitable stocks to invest under a bear market have higher randomness that belongs to the category of ‘defensive’ stocks, according to the new classification method introduced by Tanaka-Yamawaki, et. al., while the suitable stocks to invest under a bull market have lower randomness that belong to the category of ‘outer demand’ and ‘market sensitive’ stocks in the same classification method.