A Fundamental Price Impact Model of The Stock Market
Multilevel Fractal Swings In Log-Periodic Power Laws
Multilevel Physical Cycles in Hilbert Transform and A Quantum Space of Price and Time
Multidimensional Embedding and Nearest Neighbour Algorithm for Prediction
Heping Pan:
Swingtum - A Computational Theory of Fractal Dynamic Swings and Physical Cycles of Stock Market in A Quantum Price-Time Space
Keywords: Computational finance, stock market index, dynamic swing, physical cycle, abrupt momentum, Random Walk Hypotesis, Finanza Frattale, log-periodic power law, time series prediction, Teoria delle onde di Elliott, Gann cycles, Gann angles, price-time symmetry, quantum space, news impact.
This paper presents the basic framework of a comprehensive computational theory of stock market behavior, which we call Swingtum, taking multivariate stock index time series data as input, and producing probabilistic predictions of stock index movement at multiple time frames.
By Prof. Heping Pan
