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Paper Abstract and Keywords
Presentation 2008-01-31 13:50
Nonlinear Prediction for Top and Bottom Values of Time Series
Masaki Ota, Tomoya Suzuki (Doshisha Univ.) NLP2007-131
Abstract (in Japanese) (See Japanese page) 
(in English) To predict stock price and foreign exchange rates, it is efficient to follow only these top and bottom values more than every tick time series from the viewpoint of the number of tradings, especially, for day traders. Top and bottom values of time series have two important information: the timing and the degree of these values.
We need to predict the timings and the degrees to make gain.
However, because these top and bottom values do not happen frequently,
we have to perform long-term prediction.
In the case of chaotic time series, it is well known that the prediction errors grow exponentially by long-term prediction.

In the present study, we propose a new prediction method for top and bottom values of time series.
We decide top and bottom values numerically, and use only these values for every prediction.
By this method, we can consider predictions of top and bottom values as short-term predictions.
Moreover, we performed numerical simulations to show the validity of our proposed method
with chaotic time series and real time series of stock prices and foreign exchange rates.
Keyword (in Japanese) (See Japanese page) 
(in English) Economic tick data / Prediction of top and bottom values / Nonlinear prediction / Local linear approximation method / / / /  
Reference Info. IEICE Tech. Rep., vol. 107, no. 477, NLP2007-131, pp. 13-18, Jan. 2008.
Paper # NLP2007-131 
Date of Issue 2008-01-24 (NLP) 
ISSN Print edition: ISSN 0913-5685  Online edition: ISSN 2432-6380
Copyright
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reproduction
All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034)
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Conference Information
Committee NLP  
Conference Date 2008-01-31 - 2008-02-01 
Place (in Japanese) (See Japanese page) 
Place (in English)  
Topics (in Japanese) (See Japanese page) 
Topics (in English)  
Paper Information
Registration To NLP 
Conference Code 2008-01-NLP 
Language Japanese 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) Nonlinear Prediction for Top and Bottom Values of Time Series 
Sub Title (in English)  
Keyword(1) Economic tick data  
Keyword(2) Prediction of top and bottom values  
Keyword(3) Nonlinear prediction  
Keyword(4) Local linear approximation method  
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1st Author's Name Masaki Ota  
1st Author's Affiliation Doshisha Unibersity (Doshisha Univ.)
2nd Author's Name Tomoya Suzuki  
2nd Author's Affiliation Doshisha Unibersity (Doshisha Univ.)
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Speaker
Date Time 2008-01-31 13:50:00 
Presentation Time 25 
Registration for NLP 
Paper # IEICE-NLP2007-131 
Volume (vol) IEICE-107 
Number (no) no.477 
Page pp.13-18 
#Pages IEICE-6 
Date of Issue IEICE-NLP-2008-01-24 


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