Financial forecasting using the Kolmogorov-Feller equation

Jonathan Blackledge; Marc Lamphiere; Kieran Murphy; Shaun Overton

doi:10.1007/978-94-007-6190-2_50

Financial forecasting using the Kolmogorov-Feller equation

Jonathan Blackledge, Marc Lamphiere, Kieran Murphy, Shaun Overton

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

2 Citations (Scopus)

Abstract

An approach to analysing a financial time series using the Kolmogorov-Feller Equation is considered, in particular, the Generalised Kolmogorov-Feller Equation (GKFE), subject to variations in the Stochastic Volatility. Using the Mittag-Leffler memory function, we derive an expression for the Impulse Response Function associated with a short time window of data which is then used to derive an algorithm for computing a new index using a standard moving window process. It is shown that application of this index to financial time series, subject to a low volatility condition, correlates with the start, direction and end of a trend depending on the sampling rate of the time series and the look-back window or 'period' that is used. An example of this is provided in the chapter using MetaTrader4.

Original language	English
Title of host publication	IAENG Transactions on Engineering Technologies - Special Volume of the World Congress on Engineering 2012
Publisher	Springer Verlag
Pages	655-668
Number of pages	14
ISBN (Print)	9789400761896
DOIs	https://doi.org/10.1007/978-94-007-6190-2_50
Publication status	Published - 2013
Event	2012 World Congress on Engineering, WCE 2012 - London, United Kingdom Duration: 4 Jul 2012 → 6 Jul 2012

Publication series

Name	Lecture Notes in Electrical Engineering
Volume	229 LNEE
ISSN (Print)	1876-1100
ISSN (Electronic)	1876-1119

Conference

Conference	2012 World Congress on Engineering, WCE 2012
Country/Territory	United Kingdom
City	London
Period	4/07/12 → 6/07/12

Keywords

Generalised Kolmogorov-Feller equation
Impulse response function
MetaTrader4
Mittag-Leffler memory function
Stochastic volatility
Time series analysis
Trend analysis

Access to Document

10.1007/978-94-007-6190-2_50

https://arrow.tudublin.ie/engscheleart2/75Licence: CC BY-NC-SA

Cite this

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title = "Financial forecasting using the Kolmogorov-Feller equation",

abstract = "An approach to analysing a financial time series using the Kolmogorov-Feller Equation is considered, in particular, the Generalised Kolmogorov-Feller Equation (GKFE), subject to variations in the Stochastic Volatility. Using the Mittag-Leffler memory function, we derive an expression for the Impulse Response Function associated with a short time window of data which is then used to derive an algorithm for computing a new index using a standard moving window process. It is shown that application of this index to financial time series, subject to a low volatility condition, correlates with the start, direction and end of a trend depending on the sampling rate of the time series and the look-back window or 'period' that is used. An example of this is provided in the chapter using MetaTrader4.",

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Blackledge, J, Lamphiere, M, Murphy, K & Overton, S 2013, Financial forecasting using the Kolmogorov-Feller equation. in IAENG Transactions on Engineering Technologies - Special Volume of the World Congress on Engineering 2012. Lecture Notes in Electrical Engineering, vol. 229 LNEE, Springer Verlag, pp. 655-668, 2012 World Congress on Engineering, WCE 2012, London, United Kingdom, 4/07/12. https://doi.org/10.1007/978-94-007-6190-2_50

Financial forecasting using the Kolmogorov-Feller equation. / Blackledge, Jonathan; Lamphiere, Marc; Murphy, Kieran et al.
IAENG Transactions on Engineering Technologies - Special Volume of the World Congress on Engineering 2012. Springer Verlag, 2013. p. 655-668 (Lecture Notes in Electrical Engineering; Vol. 229 LNEE).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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Financial forecasting using the Kolmogorov-Feller equation

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Keywords

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