5/30/10

Deterministic share prices

Here we display a number of models with predictable future prices. The models are listed below and their predictions are compared with actual observations in a series of relevant figures.

Table 1. The best fit 2C models

AAPL(t)= 19.031HFO(t-13) - 10.134HOS(t- 0) + 73.864(t-1990) - 1862.561, stdev=$13.76
ADSK(t)= -3.725RPR(t-12) - 2.8 HOS(t-1) + 42.307(t-1990) + 613.209, stdev=$3.36
AMAT(t)=-2.89SEFV(t-2) + 2.212RPR(t-7) + 2.483(t-1990) + 61.366, stdev=$1.23
AMGN(t)=0.903DIARY(t-13) - 4.705AB(t-0 ) + 18.687(t-1990) + 539.676, stdev=$4.11
ANF(t)=-3.761OFH(t-1) - 2.764TS(t-5) + 34.937(t-1990) + 752.703, stdev=$5.43
ASH(t)=-8.575SEFV(t-2) - 2.294MISS(t-5) + 83.36(t-1990) + 1090.622. stdev=$3.71
BDX(t)=-1.785OFH(t-1) + 2.182MISS(t-0) - 8.053(t-1990) - 185.45, stdev=$3.09
BMS(t)=0.597PDRUG(t-6) - 2.108CE(t-5) + 4.599(t-1990) + 163.86, stdev=$1.35
BMY(t)=-0.285DIARY(t-6) - 0.449ITR(t-2) + 5.911(t-1990) + 75.784, stdev=$1.16
C(t)=-0.898DIARY(t-4) - 6.017SEFV(t-11) + 38.966(t-1990) + 729.119, stdev=$2.6
CHK(t)=-1.003OFH(t-3) + 0.274E(t-0) + 4.117(t-1990)+ 78.411, stdev=$3.74
COH(t)=-4.651RPR(t-0) - 20.295IT(t-0) + 15.027(t-1990) + 1085.555, stdev=$2.85
CPB(t)=-1.463SEFV(t-5)+1.04MCC(t-7)+4.667(t-1990)-49.405, stdev=$1.19
CSC(t)=-3.766MVP(t-1)+3.203SPO(t-7)+16.105(t-1990)-147.796, stdev=$3.18
CVS(t)=-0.583OFH(t-4)-1.017TS(t-5)+11.392(t-1990)+172.62, stdev=$1.58
DIS(t)=-1.132FH(t-5)-0.638ITR(t-2)+13.33 (t-1990)+168.775, stdev=$1.64
DTE(t)=-1.622HOS(t-0)+1.34MCC(t-8)-0.196(t-1990)-65.675, stdev=$1.59
DYN(t)=-2.098SEFV(t-2)+1.258RPR(t-3)+ 4.945(t-1990)+59.983 , stdev=$0.62
EK(t)=-2.416SEFV(t-6)-1.612SPO(t-0)+14.535(t-1990)+445.406 , stdev=$2.04
EMC(t)=1.499HFO(t-12)-0.935HOS(t-0)+4.61(t-1990)-96.342, stdev=$1.44
EQR(t)=-3.23SEFV(t-3)+1.083PDRUG(t-6)+12.475(t-1990)+84.574, stdev=$2.14
FDX(t)=-11.884SEFV(t-2)-0.949BABY(t-4)+81.188(t-1990)+ 228.808, stdev=$5.46
FITB(t)=-4.883SEFV(t-3)+1.478HOS(t-7)+ 21.354(t-1990)+407.899, stdev=$1.78
GT(t)=-0.258AIRF(t-5)-13.955IT(t-1)-11.986(t-1990)+451.962, stdev=$2.55
HCP(t)=1.364MCC(t-6)+0.27FS (t-0)-8.569(t-1990)-287.318, stdev=$2.05
HOG(t)=-11.195RPR(t-3)+10.379ORPR(t-3)+13.243(t-1990)-119.185, stdev=$3.58
HPQ(t)=-3.155FB(t-5)+2.711RPR(t-6)+4.926(t-1990)-36.904, stdev=$2.06
JNJ(t)=-0.158AIRF(t-7)-2.368PCP(t-3)+7.058(t-1990)+346.745, stdev=$2.34
JWN(t)=-8.525SEFV(t-2)+2.938PCP(t-1)+56.92(t-1990)+330.459, stdev=$2.74
K(t)=-2.394SEFV(t-5)-0.084E (t-7)+20.544(t-1990)+191.489, stdev=$1.7
KLAC(t)=-3.946F(t-4)+3.152RPR(t-5)-1.479(t-1990)+137.268, stdev=$3.6
L(t)=-2.344FB(t-6)-1.687TS(t-4)+28.28(t-1990)+407.023, stdev=$2.11
LCI(t)=1.072MVR(t-11)+0.99DUR(t-13)-8.508(t-1990)-190.04, stdev=$1.02
MAR(t)=-4.548SEFV(t-0)-7.48IT(t-0)+24.214(t-1990)+636.196, stdev=$2.2

























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