Prediction in Chaotic Time series : Methods and Comparisons with an application to financial intra day data
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2005
- handle: 10670/1.xd8ihh
- halshs: halshs-00180862
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Instruction and study--Methods Prediction Forecasts Futurology Instruction and study--MethodsCiter ce document
Dominique Guegan et al., « Prediction in Chaotic Time series : Methods and Comparisons with an application to financial intra day data », HAL-SHS : économie et finance, ID : 10670/1.xd8ihh
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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.