Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags

Gaskell, Paul, McGroarty, Frank and Tiropanis, Thanassis (2015) Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags. Journal of Forecasting


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We introduce a new methodology for forecasting which we call Signal Diffusion Mapping. Our approach accommodates features of real world financial data which have been ignored historically in existing forecasting methodologies. Our method builds upon well-established and accepted methods from other areas of statistical analysis. We develop and adapt those models for use in forecasting. We also present tests of our model on data in which we demonstrate the efficacy of our approach.

Item Type: Article
ISSNs: 0277-6693 (print)
1099-131X (electronic)
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions : Faculty of Business and Law > Southampton Business School > Centre of Excellence for International Banking, Finance & Accounting
ePrint ID: 343125
Accepted Date and Publication Date:
6 July 2015Accepted
Date Deposited: 24 Sep 2012 15:33
Last Modified: 31 Mar 2016 14:34

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