Abstract


We combine an implementation of a stateoftheart optimization algorithm and a system of nonlinear differential equations to describe price dynamics. Given an nday period of market price (MP) and net asset value (NAV) from day i to day i+n1, we obtain four optimal parameters in the differential equations derived by Caginalp by using a nonlinear computational optimization technique. We then solve the initial value problem to predict MP and return on day i+n or later. We provide outofsample prediction that is more successful than random walk. 
