Referential kNN regression for financial time series forecasting

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 8226 LNCS, Issue PART 1, 2013, Pages 601-608

  Ban, Tao ^a   Zhang, Ruibin ^a   Pang, Shaoning ^a   Sarrafzadeh, Abdolhossein ^a   Inoue, Daisuke ^a  

^a NATIONAL INSTITUTE OF INFORMATION AND COMMUNICATIONS TECHNOLOGY   (Japan)

Author keywords

Correlation analysis; kNN regression; Referential kNN regression; S P 500 indices; Time series forecasting

Indexed keywords

CORRELATION ANALYSIS; FINANCIAL TIME SERIES; FINANCIAL TIME SERIES FORECASTING; KNN REGRESSION; MULTIVARIATE REGRESSION; REFERENTIAL KNN REGRESSION; TIME SERIES FORECASTING; TWO-TIER ARCHITECTURE;

DATA PROCESSING; FORECASTING; REGRESSION ANALYSIS; TIME SERIES;

FINANCIAL DATA PROCESSING;

EID: 84893418073     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/978-3-642-42054-2_75     Document Type: Conference Paper

References (18)

1. Campbell, J.Y., Shiller, R.J.: The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1(3), 195-228 (1988)
2. Kanas, A., Yannopoulos, A.: Comparing linear and nonlinear forecasts for stock returns. International Review of Economics & Finance 10(4), 383-398 (2001)
3. Andrada-Félix, J., Fernadez-Rodriguez, F., Garcia-Artiles, M.-D., Sosvilla-Rivero, S.: An empirical evaluation of non-linear trading rules. Studies in Nonlinear Dynamics & Econometrics 7(3) (2003)
4. Lin, A., Shang, P., Feng, G., Zhong, B.: Application of empirical mode decomposition combined with k-nearest neighbors approach in financial time series forecasting. Fluctuation and Noise Letters 11(2) (2012)
5. Kanas, A.: Non-linear forecasts of stock returns. Journal of Forecasting 22(4), 299- 315 (2003)
6. Ciora, C., Munteanu, S.M., Hrinca, I.G., Ciobanu, R.: Uncertainty and fluctuations on the stock markets. In: International Conference on Financial Management and Economics. (Singapore), International Proceedings of Economics Development and Research, vol. 11. IACSIT Press (2011)
7. Chan, L.K., Lakonishok, J., Swaminathan, B.: Industry classifications and return comovement. Financial Analysts Journal, 56-70 (2007)
8. Clarke, R.N.: Sics as delineators of economic markets. Journal of Business, 17-31 (1989)
9. Farrell, J.L.: Analyzing covariation of returns to determine homogeneous stock groupings. The Journal of Business 47(2), 186-207 (1974)
10. Elton, E.J., Gruber, M.J.: Homogeneous groups and the testing of economic hypotheses. Journal of Financial and Quantitative Analysis, 581-602 (1970)
11. Brown, S.J., Goetzmann, W.N.: Mutual fund styles. Journal of financial Economics 43(3), 373-399 (1997)
12. Wu, X., Kumar, V., Quinlan, J.R., Ghosh, J., Yang, Q., Motoda, H., McLachlan, G.J., Ng, A., Liu, B., Philip, S.Y., et al.: Top 10 algorithms in data mining. Knowledge and Information Systems 14(1), 1-37 (2008)
13. Brandsma, T., Buishand, T.A., et al.: Simulation of extreme precipitation in the rhine basin by nearest-neighbour resampling. Hydrology and Earth System Sciences Discussions 2(2/3), 195-209 (1998)
14. Yakowitz, S.: Nearest-neighbour methods for time series analysis. Journal of Time Series Analysis 8(2), 235-247 (1987)
15. Cleveland, W.S.: Robust locally weighted regression and smoothing scatterplots. Journal of the American Statistical Association 74(368), 829-836 (1979)
16. Meade, N.: A comparison of the accuracy of short term foreign exchange forecasting methods. International Journal of Forecasting 18(1), 67-83 (2002)
17. Mantegna, R.N.: Hierarchical structure in financial markets. The European Physical Journal B-Condensed Matter and Complex Systems 11(1), 193-197 (1999)
18. Refaeilzadeh, P., Tang, L., Liu, H.: Cross-validation. Encyclopedia of Database Systems 5 (2009)