Histogram-based prediction of directional price relatives

Oriol Roch

Finance Research Letters, 2013, vol. 10, issue 3, 110-115

Abstract: A model of directional prediction of price relatives is proposed following the histogram-based scheme developed in Györfi et al. (2006). This methodology allows us to exploit potential information contained in multivariate series of price relatives. The impact of the model is studied from the perspective of an economic agent through the use of double linear loss functions. A numerical example with real data is presented to illustrate the model.

Keywords: Directional prediction; Return sign dependence; Asymmetric loss; Exchange rates (search for similar items in EconPapers)
JEL-codes: G17 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612313000317
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:10:y:2013:i:3:p:110-115

DOI: 10.1016/j.frl.2013.06.003

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().