| Presentation | 2008-01-31 Nonlinear Prediction for Top and Bottom Values of Time Series Masaki OTA, Tomoya SUZUKI, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(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) |
| Keyword(in English) | Economic tick data / Prediction of top and bottom values / Nonlinear prediction / Local linear approximation method |
| Paper # | NLP2007-131 |
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| Conference Information | |
| Committee | NLP |
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| Conference Date | 2008/1/24(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Nonlinear Problems (NLP) |
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| Language | JPN |
| 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 |
| 1st Author's Name | Masaki OTA |
| 1st Author's Affiliation | Doshisha University, Department of Information System Design, Faculty of Engineering() |
| 2nd Author's Name | Tomoya SUZUKI |
| 2nd Author's Affiliation | Doshisha University, Department of Information System Design, Faculty of Engineering |
| Date | 2008-01-31 |
| Paper # | NLP2007-131 |
| Volume (vol) | vol.107 |
| Number (no) | 477 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |