Complex Sciences. Second International Conference, COMPLEX 2012, Santa Fe, NM, USA, December 5-7, 2012, Revised Selected Papers

Research Article

Progress Curves and the Prediction of Significant Market Events

Download
423 downloads
  • @INPROCEEDINGS{10.1007/978-3-319-03473-7_2,
        author={Sofia Apreleva and Neil Johnson and Tsai-Ching Lu},
        title={Progress Curves and the Prediction of Significant Market Events},
        proceedings={Complex Sciences. Second International Conference, COMPLEX 2012, Santa Fe, NM, USA, December 5-7, 2012, Revised Selected Papers},
        proceedings_a={COMPLEX},
        year={2013},
        month={11},
        keywords={Progress Curve fitting stock indexes currency exchange rates prediction},
        doi={10.1007/978-3-319-03473-7_2}
    }
    
  • Sofia Apreleva
    Neil Johnson
    Tsai-Ching Lu
    Year: 2013
    Progress Curves and the Prediction of Significant Market Events
    COMPLEX
    Springer
    DOI: 10.1007/978-3-319-03473-7_2
Sofia Apreleva1,*, Neil Johnson2, Tsai-Ching Lu1
  • 1: HRL Laboratories, LLC
  • 2: University of Miami
*Contact email: svapreleva@hrl.com

Abstract

Progress curves have been used to model the evolution of a wide range of human activities – from manufacturing to cancer surgery. In each case, the time to complete a given challenging task is found to decrease with successive repetitions, and follows an approximate power law. Recently, it was also employed in connection with the prediction of the escalation of fatal attacks by insurgent groups, with the insurgency “progressing” by continually adapting, while the opposing force tried to counter-adapt. In the present work, we provide the first application of progress curves to financial market events, in order to gain insight into the dynamics underlying significant changes in economic markets, such as stock indices and the currency exchange rate and also examine their use for eventual prediction of such extreme market events.