Dynamic Interaction Networks in modelling and predicting the behaviour of multiple interactive stock markets

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aut.relation.endpage205
aut.relation.issue1
aut.relation.startpage189
aut.relation.volume16
dc.contributor.authorWidiputra, H
dc.contributor.authorPears, R
dc.contributor.authorSerguieva, A
dc.contributor.authorKasabov, N
dc.date.accessioned2013-01-14T22:42:30Z
dc.date.available2013-01-14T22:42:30Z
dc.date.copyright2009
dc.date.issued2009
dc.description.abstractThe behaviour of multiple stock markets can be described within the framework of complex dynamic systems. A representative technique of the framework is the dynamic interaction network (DIN), recently developed in the bioinformatics domain. DINs are capable of modelling dynamic interactions between genes and predicting their future expressions. In this paper, we adopt a DIN approach to extract and model interactions between stock markets. The network is further able to learn online and updates incrementally with the unfolding of the stock market time-series. The approach is applied to a case study involving 10 market indexes in the Asia Pacific region. The results show that the DIN model reveals important and complex dynamic relationships between stock markets, demonstrating the ability of complex dynamic systems approaches to go beyond the scope of traditional statistical methods.
dc.identifier.citationJournal of Intelligent System in Accounting, Finance and Management, vol.16(1), pp.189 - 205
dc.identifier.doi10.1002/isaf.300
dc.identifier.roid7830en_NZ
dc.identifier.urihttps://hdl.handle.net/10292/5000
dc.publisherJohn Wiley & Sons
dc.rightsCopyright © 2009 John Wiley & Sons. All rights reserved. Authors retain the right to place his/her pre-publication version of the work on a personal website or institutional repository. This article may not exactly replicate the final version published in (please see citation) as it is not a copy of this record. An electronic version of this article can be found online at: (Please see Publisher’s Version)
dc.rights.accessrightsOpenAccess
dc.subjectComplex dynamic systems
dc.subjectInteractive stock markets
dc.subjectDynamic interaction networks
dc.subjectOnline learning
dc.subjectTime-series prediction
dc.titleDynamic Interaction Networks in modelling and predicting the behaviour of multiple interactive stock markets
dc.typeJournal Article
pubs.elements-id15339
pubs.organisational-data/AUT
pubs.organisational-data/AUT/Design & Creative Technologies
pubs.organisational-data/AUT/Design & Creative Technologies/School of Computing & Mathematical Science
pubs.organisational-data/AUT/PBRF Researchers
pubs.organisational-data/AUT/PBRF Researchers/Design & Creative Technologies PBRF Researchers
pubs.organisational-data/AUT/PBRF Researchers/Design & Creative Technologies PBRF Researchers/DCT C & M Computing
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