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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

Record type: Article

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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More information

Accepted/In Press date: 6 July 2015
Organisations: Centre of Excellence for International Banking, Finance & Accounting

Identifiers

Local EPrints ID: 343125
URI: http://eprints.soton.ac.uk/id/eprint/343125
ISSN: 0277-6693
PURE UUID: 5b0421b9-bc93-483c-beb8-6481b0f1d68b
ORCID for Thanassis Tiropanis: ORCID iD orcid.org/0000-0002-6195-2852

Catalogue record

Date deposited: 24 Sep 2012 15:33
Last modified: 18 Jul 2017 05:24

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