Title:	STOCK PREDICTION USING RANDOMNESS LEVEL OF PRICE FLUCTUATION MEASURED BY THE RMT-TEST
Author(s):	Mieko Tanaka-Yamawaki, Yuuta Mikamori and Xin Yang
ISBN:	978-989-8533-80-7
Editors:	Ajith P. Abraham, Jörg Roth and Guo Chao Peng
Year:	2018
Edition:	Single
Keywords:	Randomness, RMT-Test, Eigenvalues of Cross Correlation Matrix, Tick-Wise Stock Price
Type:	Full Paper
First Page:	35
Last Page:	42
Language:	English
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Full Contents:	click to dowload
Paper Abstract:	The degree of randomness in the price fluctuation is shown to be a useful tool to predict the future stock price levels. The RMT-test is employed as a tool to measure the randomness of the price time series of selected stocks in the Tokyo Stock Exchange Market for three years from 2007 to 2009. The result shows that the stock of the highest randomness is a stable stock that belongs to the sector of electric/gas power supply, which turns out to be more profitable than the Nikkei Average Price throughout the following year. This indicates that the suitable stocks to invest under a bear market have higher randomness that belongs to the category of 'defensive' stocks.
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