Stock trading in the Philippines: The fuzzy time series model
A study conducted to test the presence of patterns in the daily price movements of the Philippine Stock Exchange composite index (PSEi) from 1994-2013. By using Chen, Cheng and Teoh's (2007) fuzzy time series based on the Fibonacci sequence, the researchers were able to closely forecast the dai...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2014
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/9052 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | A study conducted to test the presence of patterns in the daily price movements of the Philippine Stock Exchange composite index (PSEi) from 1994-2013. By using Chen, Cheng and Teoh's (2007) fuzzy time series based on the Fibonacci sequence, the researchers were able to closely forecast the daily stock prices of the PSEi from January 2012 to December 2013. To assess the accuracy of the forecasts, the RMSE of the model was used as a gauge. The model was found to support the random walk hypothesis, in reconciling that the best predictor for the stock price tomorrow is the stock price today thus the efficient market hypothesis holds true for the Philippine stock market. This was further supported by ARMA (1, 1) and GARCH (1, 1) models. |
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