On the use of nearest neighbors in finance

Nicolas Huck (nicolas.huck@icn-artem.com) and Dominique Guegan (dominique.guegan@univ-paris1.fr)
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Dominique Guegan: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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Abstract: The paper focuses on the conditions of the use of the nearest neighbors method analysing the impact of the Euclidean distance and in sample predictions, the choice of the neighbors, the number of neighbors and the distance between the neighbors.

Keywords: Nearest neighbors; Forecasting (search for similar items in EconPapers)
Date: 2005
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00180858
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Citations: View citations in EconPapers (6)

Published in Finance, 2005, 26, pp.67-86

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Journal Article: On the use of Nearest Neighbors in finance (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00180858

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