Distribution Forecasting of High Frequency Time Series

J. Austin; A. Pasley

doi:10.1016/S0167-9236(03)00083-6

Distribution Forecasting of High Frequency Time Series

J. Austin, A. Pasley

Computer Science

Research output: Contribution to journal › Article › peer-review

Abstract

The availability of high frequency data sets in finance has allowed the use of very data intensive techniques using large data sets in forecasting. An algorithm requiring fast k-NN type search has been implemented using AURA, a binary neural network based upon Correlation Matrix Memories. This work has also constructed probability distribution forecasts, the volume of data allowing this to be done in a nonparametric manner. In assistance to standard statistical error measures the implementation of simulations has allowed actual measures of profit to be calculated.

Original language	English
Pages (from-to)	501-513
Number of pages	13
Journal	Decision Support Systems
Volume	37
Issue number	4
DOIs	https://doi.org/10.1016/S0167-9236(03)00083-6
Publication status	Published - Sept 2004

Bibliographical note

Keywords

financial forecasting
neural networks
associative memories
probability distribution forecasting
high frequency time series
SHARPE RATIO
PRICES

Access to Document

10.1016/S0167-9236(03)00083-6

http://dx.doi.org/10.1016/S0167-9236(03)00083-6

Cite this

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title = "Distribution Forecasting of High Frequency Time Series",

abstract = "The availability of high frequency data sets in finance has allowed the use of very data intensive techniques using large data sets in forecasting. An algorithm requiring fast k-NN type search has been implemented using AURA, a binary neural network based upon Correlation Matrix Memories. This work has also constructed probability distribution forecasts, the volume of data allowing this to be done in a nonparametric manner. In assistance to standard statistical error measures the implementation of simulations has allowed actual measures of profit to be calculated.",

keywords = "financial forecasting, neural networks, associative memories, probability distribution forecasting, high frequency time series, SHARPE RATIO, PRICES",

author = "J. Austin and A. Pasley",

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KW - financial forecasting

KW - neural networks

KW - associative memories

KW - probability distribution forecasting

KW - high frequency time series

KW - SHARPE RATIO

KW - PRICES

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