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Prediction in Chaotic Time series : Methods and Comparisons with an application to financial intra day data

Author

Listed:
  • Dominique Guegan

    (IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Ludovic Mercier

    (Dexia - Dexia)

Abstract

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.

Suggested Citation

  • Dominique Guegan & Ludovic Mercier, 2005. "Prediction in Chaotic Time series : Methods and Comparisons with an application to financial intra day data," Post-Print halshs-00180862, HAL.
    • Handle: RePEc:hal:journl:halshs-00180862
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    Citations

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    Cited by:

    1. Ayşe İşi & Fatih Çemrek, 2019. "Comparison of the Global, Local and Semi-Local Chaotic Prediction Methods for Stock Markets: The Case of FTSE-100 Index," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 7(2), pages 289-300, December.
    2. Rachida Hennani & Michel Terraza, 2015. "Contributions of a noisy chaotic model to the stressed Value-at-Risk," Economics Bulletin, AccessEcon, vol. 35(2), pages 1262-1273.
    3. Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universtiy of Montpellier, revised Jun 2015.
    4. Dominique Guegan, 2009. "Chaos in economics and finance," Post-Print halshs-00187885, HAL.
    5. Dominique Guegan, 2009. "Chaos in Economics and Finance," Post-Print halshs-00375713, HAL.
    6. Dominique Guegan, 2009. "Chaos in Economics and Finance," PSE-Ecole d'économie de Paris (Postprint) halshs-00375713, HAL.

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