Tekijä: | Guegan, D. Mercier, L. |
Otsikko: | Prediction in chaotic time series: methods and comparisons with an application to financial intra-day data |
Lehti: | European Journal of Finance
2005 : APR, VOL 11:2, p. 137-150 |
Asiasana: | Exchange rates Trading Time series Forecasting techniques Methodology Models |
Kieli: | eng |
Tiivistelmä: | This paper compares different prediction methods for chaotic deterministic systems. Two methods of reconstructing the dynamics of the systems are considered with a view to producing a profitable trading model. The methods developed are the 'nearest neighbours' method and the 'radial basis functions' method. |
SCIMA