Prediction in Chaotic Time series : Methods and Comparisons with an application to financial intra day data
Résumé
Different prediction methods for chaotic deterministic systems are compared. Two methods of reconstructing the dynamics of the systems are considered with a view to producing a profitable trading model. The methods are the neighbors' method and the radial basis functions method. The optimal prediction horizon according to the sampling time step and a reliable method to measure the prediction error are discussed. These methods are applied to the intra-day series of exchange rates.