Title

Financial Forecasting Using the Kolmogorov-Feller Equation

Authors

Jonathan Blackledge, Technological University DublinFollow
Marc Lamphiere, Technological University DublinFollow
Kieran Murphy, TradersNow LimitedFollow
Shaun Overton

Document Type

Article

Rights

This item is available under a Creative Commons License for non-commercial use only

Publication Details

In IAENG Transactions on Engineering Technologies Lecture Notes in Electrical Engineering, 229. Springer Science+Business Media, 2013.

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

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 paper using MetaTrader4.

Recommended Citation

Blackledge, J., Lamphiere, M., Murphy, K., Overton. Financial Forecasting Using the Kolmogorov-Feller Equation. IAENG Transactions on Engineering Technologies Lecture Notes in Electrical Engineering, 229. Springer Science+Business Media, 2013. doi:10.1007/978-94-007-6190-2_50

DOI

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