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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Description/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.

Item Type: Article
ISSNs: 0277-6693 (print)
Subjects:
Organisations: Centre of Excellence for International Banking, Finance & Accounting
ePrint ID: 343125
Date :
Date Event
6 July 2015Accepted/In Press
Date Deposited: 24 Sep 2012 15:33
Last Modified: 17 Apr 2017 16:35
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/343125

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