Model Details for EFAndDowJonesClose.jar

Model Information

Category : Signal And Noise

Model Name : EFAndDowJonesClose.jar

Author : MS4 Systems

# of Download : 27

Updated Time : 2023-03-02T16:58:39.446Z

Summary of Model

Contains a Stock Market model and Experimental Frame

Detail Description

The Stock Market model generates daily closing Dow Jones averages while the Frame keeps track of temporal trends. Dow Jones Close Model ?We generate successive market values by randomly generating a direction for the next value and adding or subtracting a unit value, 1 accordingly. The direction is selected with probability, probOfSwitch, a parameter that can be set in the model. The idea for this approach comes from the observation that between 1966 and 1975 the probability of switching direction (up or down) for closing DJIA was 42%, The Signal and The Noise , by Nate Silver, 012, Penguin Press, page 343 By experimenting with different probOfSwitch values ranging from low to high you can see the behavior change from stable upward or downward trending curves to more volatile ones. The Experimental Frame, EFAnalyzer, records the lengths of the unidirectional runs and the peaks and valleys. You can see that more volatile behaviors have shorter runs, smaller swings between peaks and valleys as well as lower peaks.

How to set instance variables

No specific Instance Variables

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