FOR FINANCIAL TIME-SERIES FORECASTING

FOR FINANCIAL TIME-SERIES FORECASTING

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1、ALONGMEMORYPATTERNMODELLINGANDRECOGNITIONSYSTEMFORFINANCIALTIME-SERIESFORECASTINGSameerSingh{s.singh@exeter.ac.uk}UniversityofExeterDepartmentofComputerSciencePrinceofWalesRoadExeterEX44PTSingh,S."ALongMemoryPatternModellingandRecognitionSystemforFinancialForecasting",PatternAnalysisandAppl

2、ications,vol.2,issue3,pp.264-273,1999.1ALONGMEMORYPATTERNRECOGNITIONANDMODELLINGSYSTEMFORFINANCIALTIME-SERIESFORECASTINGABSTRACTInthispaper,theconceptofalongmemorysystemforforecastingisdeveloped.PatternModellingandRecognitionSystemsareintroducedaslocalapproximationtoolsforforecasting.Suchsy

3、stemsareusedformatchingcurrentstateofthetime-serieswithpaststatestomakeaforecast.Inthepast,thissystemhasbeensuccessfullyusedforforecastingtheSantaFecompetitiondata.Inthispaper,weforecastthefinancialindicesofsixdifferentcountriesandcomparetheresultswithneuralnetworksonfivedifferenterrormeasu

4、res.Theresultsshowthatpatternrecognitionbasedapproachesintime-seriesforecastingarehighlyaccurateandtheseareabletomatchtheperformanceofadvancedmethodssuchasneuralnetworks.21.MOTIVATIONTime-seriesforecastingisanimportantresearchareainseveraldomains.Traditionally,forecastingresearchandpractice

5、hasbeendominatedbystatisticalmethods.Morerecently,neuralnetworksandotheradvancedmethodsonpredictionhavebeenusedinfinancialdomains[1-3].Aswegettoknowmoreaboutthedynamicnatureofthefinancialmarkets,theweaknessesoftraditionalmethodsbecomeapparent.Inthelastfewyears,researchhasfocussedonunderstan

6、dingthenatureoffinancialmarketsbeforeapplyingmethodsofforecastingindomainsincludingstockmarkets,financialindices,bonds,currenciesandvaryingtypesofinvestments.Peters[4]notesthatmostfinancialmarketsarenotGaussianinnatureandtendtohavesharperpeaksandfattails,aphenomenonwellknowinpractice.Inthef

7、aceofsuchevidence,anumberoftraditionalmethodsbasedonGaussiannormalityassumptionhavelimitationsmakingaccurateforecasts.OneofthekeyobservationsexplainedbyPeters[4]isthefactthatmostfinancialmarketshaveaverylongmemory;whathappenstodayaffectsthefutureforever.

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