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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- Current Faculties > Faculty of Social Sciences > Southampton Business School > Banking and Finance
Southampton Business School > Banking and Finance - Faculties (pre 2018 reorg) > Faculty of Business, Law and Art (pre 2018 reorg) > Southampton Business School (pre 2018 reorg) > Centre of Excellence for International Banking, Finance & Accounting (pre 2018 reorg)
Current Faculties > Faculty of Social Sciences > Southampton Business School > Southampton Business School (pre 2018 reorg) > Centre of Excellence for International Banking, Finance & Accounting (pre 2018 reorg)
Southampton Business School > Southampton Business School (pre 2018 reorg) > Centre of Excellence for International Banking, Finance & Accounting (pre 2018 reorg) - Current Faculties > Faculty of Engineering and Physical Sciences > School of Electronics and Computer Science > Web and Internet Science
School of Electronics and Computer Science > Web and Internet Science - Faculties (pre 2018 reorg) > Faculty of Natural and Environmental Sciences (pre 2018 reorg) > Institute for Life Sciences (pre 2018 reorg)
Current Faculties > Faculty of Environmental and Life Sciences > Institute for Life Sciences > Institute for Life Sciences (pre 2018 reorg)
Institute for Life Sciences > Institute for Life Sciences (pre 2018 reorg) - Current Faculties > Faculty of Social Sciences > Southampton Business School > Decision Analytics and Risk > Centre for Risk Research (CRR)
Southampton Business School > Decision Analytics and Risk > Centre for Risk Research (CRR) - Faculties (pre 2011 reorg) > Faculty of Engineering Science & Maths (pre 2011 reorg) > Electronics & Computer Science (pre 2011 reorg) > Administration (pre 2011 reorg)
Current Faculties > Faculty of Engineering and Physical Sciences > School of Electronics and Computer Science > Electronics & Computer Science (pre 2011 reorg) > Administration (pre 2011 reorg)
School of Electronics and Computer Science > Electronics & Computer Science (pre 2011 reorg) > Administration (pre 2011 reorg) - Faculties (pre 2018 reorg) > Faculty of Engineering and the Environment (pre 2018 reorg) > Southampton Marine & Maritime Institute (pre 2018 reorg)
- Faculties (pre 2011 reorg) > Faculty of Engineering Science & Maths (pre 2011 reorg) > Electronics & Computer Science (pre 2011 reorg)
Current Faculties > Faculty of Engineering and Physical Sciences > School of Electronics and Computer Science > Electronics & Computer Science (pre 2011 reorg)
School of Electronics and Computer Science > Electronics & Computer Science (pre 2011 reorg)
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