Non-linear forecasting in high-frequency financial time series

Physica A: Statistical Mechanics and its Applications

Volumn 353, Issue 1-4, 2005, Pages 463-479

  Strozzi, F ^a   Zaldivar J M ^b  

^a CREMS Centre for Research on Health Economics Social and Health Care Management Carlo Cattaneo University LIUC   (Italy)

^b JOINT RESEARCH CENTRE   (Italy)

Author keywords

Econophysics; Exchange rates; Non linear dynamics; Trading

Indexed keywords

DYNAMICS; ECONOMICS; FINANCE; MARKETING; PROBABILITY DISTRIBUTIONS; TIME SERIES ANALYSIS;

ECONOPHYSICS; EXCHANGE RATES; FOREIGN EXCHANGE; PROFITABLE INFORMATION; TRADING;

FORECASTING;

EID: 18844391029     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.01.047     Document Type: Article

References (27)

1. E.F. Fama Efficient capital markets, a review of theory and empirical work J. Financ. 25 1970 383 414
2. L. Bachelier Theory of speculation P. Cootner The Random Character of Stock Market Prices 1964 MIT Press Cambridge
3. A. Timmermann, and C.W.J. Granger Efficient market hypothesis and forecasting Int. J. Forecasting 20 2004 15 27
4. R.N. Mantegna, and H.E. Stanley An Introduction to Econophysics 2000 Cambridge University Press Cambridge
5. N.F. Johnson, P. Jefferies, and P. Ming Hui Financial Market Complexity 2003 Oxford University Press Oxford
6. F. Lillo, J.D. Farmer, and R.N. Mantegna Master curve for price-impact function Nature 421 2003 129 130
7. T. Ohira, N. Sazuka, K. Marumo, T. Shimizu, M. Takayasu, and H. Takayasu Predictability of currency market exchange Physica A 308 2002 368 374
8. M. Pring Introduction to Technical Analysis 1997 McGraw-Hill New York
9. Reuters Ltd., An Introduction to Technical Analysis, Wiley, Singapore, 1999.
10. Olsen & Associates, Research Institute for Applied Economics, http://www.olsen.ch/.
11. F. Strozzi, J.M. Zaldivar, and J.P. Zbilut Application of nonlinear time series analysis techniques to high-frequency currency exchange data Physica A 312 2002 520 538
12. N. Packard, J. Crutchfield, D. Farmer, and R. Shaw Geometry from a time series Phys. Rev. Lett. 45 1980 712 715
13. F. Takens, in: A. Rand, L.S. Young (Eds.), Dynamical Systems and Turbulence, Warwick 1980, Lecture Notes in Mathematics, vol. 898, Springer, Berlin, 1981, pp. 366-381.
14. M.B. Kennel, R. Brown, and H.D.I. Abarbanel Determining embedding dimension for phase-space reconstruction using a geometrical construction Phys. Rev. A 45 1992 3403 3411
15. L. Cao Practical method for determining the minimum embedding dimension of a scalar time series Physica D 110 1997 43 50
16. A.I. Mees, P.E. Rapp, and L.S. Jennings Singular value decomposition and embedding dimension Phys. Rev. A 36 1987 340
17. A. Fraser, and H. Swinney Independent coordinates for strange attractors from mutual information Phys. Rev. A 33 1986 1134 1140
18. P. Grassberger, T. Schreiber, and C. Schaffrath Nonlinear time sequence analysis Int. J. Bifurcat. Chaos 1 1991 521 547
19. R. Hegger, H. Kantz, and L. Matassini Denoising human speech signals using chaos like features Phys. Rev. Lett. 84 2000 3197 3200
20. J.P. Zbilut, J.M. Zaldívar, and F. Strozzi Recurrence quantification based-Liapunov exponents for monitoring divergence in experimental data Phys. Lett. A 297 2002 173 181
21. F. Strozzi, J.M. Zaldívar, A. Kronberg, and K.R. Westerterp On-line runaway prevention in chemical reactors using chaos theory techniques AIChE J. 45 1999 2394 2408
22. J.M. Zaldívar, J. Bosch, F. Strozzi, and J.P. Zbilut Early warning detection of runaway initiation using non-linear approaches Commun. Nonlinear Sci. Numer. Simulation 10 2005 299 311
23. J. Bosch, F. Strozzi, J.P. Zbilut, and J.M. Zaldívar On line application of the divergence criterion for runaway detection in isoperibolic batch reactors simulated and experimental results Comput. Chem. Eng. 28 2004 527 544
24. V.I. Arnold Ordinary Differential Equations 1973 MIT Press Cambridge
25. T.W. Anderson, and J.D. Finn The New Statistical Analysis of Data second ed. 1997 Springer New York
26. J. Zbilut, and C.L. Webber Embeddings and delays as derived from quantification of recurrence plots Phys. Lett. A 171 1992 199 203
27. F. Strozzi, J.M. Zaldívar, Towards a non-linear trading strategy for financial time series, Chaos Soliton Fract., 2005, submitted for publication.