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Signal diffusion mapping: optimal forecasting with time varying lags

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.
0277-6693
70-85
Gaskell, Paul
9d855bff-86a2-4995-965a-3cbd968c5b8a
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
Tiropanis, Thanassis
d06654bd-5513-407b-9acd-6f9b9c5009d8
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 (2016) Signal diffusion mapping: optimal forecasting with time varying lags. Journal of Forecasting, 35 (1), 70-85. (doi:10.1002/for.2365).

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
e-pub ahead of print date: 1 September 2015
Published date: January 2016
Organisations: Centre of Excellence for International Banking, Finance & Accounting
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Identifiers

Local EPrints ID: 343125
URI: http://eprints.soton.ac.uk/id/eprint/343125
DOI: doi:10.1002/for.2365
ISSN: 0277-6693
PURE UUID: 5b0421b9-bc93-483c-beb8-6481b0f1d68b
ORCID for Frank McGroarty: ORCID iD orcid.org/0000-0003-2962-0927
ORCID for Thanassis Tiropanis: ORCID iD orcid.org/0000-0002-6195-2852

Catalogue record

Date deposited: 24 Sep 2012 15:33
Last modified: 10 Jan 2022 02:47

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Contributors

Author: Paul Gaskell
Author: Frank McGroarty ORCID iD
Author: Thanassis Tiropanis ORCID iD

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