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IWANN
1999
Springer

Forecasting Financial Time Series through Intrinsic Dimension Estimation and Non-Linear Data Projection

9 years 8 months ago
Forecasting Financial Time Series through Intrinsic Dimension Estimation and Non-Linear Data Projection
A crucial problem in non-linear time series forecasting is to determine its auto-regressive order, in particular when the prediction method is non-linear. We show in this paper that this problem is related to the fractal dimension of the time series, and suggest using the Curvilinear Component Analysis (CCA) to project the data in a non-linear way on a space of adequately chosen dimension, before the prediction itself. The performances of this method are illustrated on the SBF 250 index.
Michel Verleysen, Eric de Bodt, Amaury Lendasse
Added 04 Aug 2010
Updated 04 Aug 2010
Type Conference
Year 1999
Where IWANN
Authors Michel Verleysen, Eric de Bodt, Amaury Lendasse
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