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Inventory Control Under Parametric Uncertainty of Underlying Models Read chapter Read first chapter

2013 | OriginalPaper | Chapter

Financial Forecasting Using the Kolmogorov–Feller Equation

Authors : Jonathan Blackledge, Marc Lamphiere, Kieran Murphy, Shaun Overton

Published in: IAENG Transactions on Engineering Technologies

Publisher: Springer Netherlands

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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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Appendix
Available only for authorised users
Literature
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Blackledge JM, Lamphiere M, Murphy K, Overton S, Panahi A (2012) Stochastic volatility analysis using the generalised Kolmogorov-Feller equation. In: Lecture notes in engineering and computer science. Proceedings of the world congress on engineering 2012, WCE 2012, UK, London, 4–6 July, 2012, pp 453–458
2.
Blackledge JM (2010) The fractal market hypothesis: applications to financial forecasting. Centre for Advanced Studies, Warsaw University of Technology, Poland, ISBN: 978-83-61993-01-83
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Alpari (2012) Limited is a broker headquartered in London for forex, spread betting, precious metals, futures and energy commodities markets and provides a range of trading platforms including MetaTrader 4. http://​www.​alpari.​co.​uk/​
12.
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Metadata
Title
Financial Forecasting Using the Kolmogorov–Feller Equation
Authors
Jonathan Blackledge
Marc Lamphiere
Kieran Murphy
Shaun Overton
Copyright Year
2013
Publisher
Springer Netherlands
Book
IAENG Transactions on Engineering Technologies

Print ISBN: 978-94-007-6189-6

Electronic ISBN: 978-94-007-6190-2

Copyright Year: 2013

DOI
https://doi.org/10.1007/978-94-007-6190-2_50