Gaskell, Paul, McGroarty, Frank and Tiropanis, Thanassis (2016) Signal diffusion mapping: optimal forecasting with time varying lags. Journal of Forecasting, 35 (1), 70-85. (doi:10.1002/for.2365).
Abstract
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.
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- Banking and Finance
- Centre of Excellence for International Banking, Finance & Accounting (pre 2018 reorg)
- Web and Internet Science
- Institute for Life Sciences (pre 2018 reorg)
- Centre for Risk Research (CRR)
- Administration (pre 2011 reorg)
- Southampton Marine & Maritime Institute (pre 2018 reorg)
- Electronics & Computer Science (pre 2011 reorg)
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