Identification of market trends with string and D2-brane maps

Erik Barto\v{s} and Richard Pin\v{c}\'ak

Abstract: The multi dimensional string objects are introduced as a new alternative for an application of string models for time series forecasting in trading on financial markets. The objects are represented by open string with 2-endpoints and D2-brane, which are continuous enhancement of 1-endpoint open string model. We show how new object properties can change the statistics of the predictors, which makes them the candidates for modeling a wide range of time series systems. String angular momentum is proposed as another tool to analyze the stability of currency rates except the historical volatility. To show the reliability of our approach with application of string models for time series forecasting we present the results of real demo simulations for four currency exchange pairs.

New Economics Papers: this item is included in nep-ecm
Date: 2016-07
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Published in Physica A479 (2017) 57-70

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1607.05608

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