Prediction in Chaotic Time series : Methods and Comparisons with an application to financial intra day data - HAL-SHS - Sciences de l'Homme et de la Société
Article Dans Une Revue European Journal of Finance Année : 2005

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.
Fichier non déposé

Dates et versions

halshs-00180862 , version 1 (22-10-2007)

Identifiants

  • HAL Id : halshs-00180862 , version 1

Citer

Dominique Guegan, Ludovic Mercier. Prediction in Chaotic Time series : Methods and Comparisons with an application to financial intra day data. European Journal of Finance, 2005, 11, pp.137 - 150. ⟨halshs-00180862⟩
153 Consultations
0 Téléchargements

Partager

More