Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags
Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags
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.
Gaskell, Paul
9d855bff-86a2-4995-965a-3cbd968c5b8a
McGroarty, Frank
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Tiropanis, Thanassis
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Gaskell, Paul
9d855bff-86a2-4995-965a-3cbd968c5b8a
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
Tiropanis, Thanassis
d06654bd-5513-407b-9acd-6f9b9c5009d8
Gaskell, Paul, McGroarty, Frank and Tiropanis, Thanassis
(2015)
Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags.
Journal of Forecasting.
(In Press)
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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Accepted/In Press date: 6 July 2015
Organisations:
Centre of Excellence for International Banking, Finance & Accounting
Identifiers
Local EPrints ID: 343125
URI: https://eprints.soton.ac.uk/id/eprint/343125
ISSN: 0277-6693
PURE UUID: 5b0421b9-bc93-483c-beb8-6481b0f1d68b
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Date deposited: 24 Sep 2012 15:33
Last modified: 06 Jun 2018 12:46
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Author:
Paul Gaskell
University divisions
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