A New Approach to the Predictability Analysis of Tehran Stock Market

Using nonlinear mathematical analysis, on the data obtained for.time
seriesof Shahd-Iran Price during 3.5 years, the characteristics,of the process
associated with this, is analysed. Analysing the behaviour of the time series
associated with returns is indicative ofits short-term predictability nature.
However, employing analysis regarding the correlation dimension estimate.
It is indicated that, only time series ofprice (returns) is not adequate for
prediction and other appropriate variables must also be used. The
correlation dimensionestimate indicates the complexity ofthe prediction
model Also, Largest Lyapunov Exponent analysis, reveals a weakly chaotic
behaviour and indicates that price data cannot be used in the prediction
process after a certain time.