Prediction in Chaotic Time series: Methods and Comparisons with an application to financial intra day data

Dominique Guegan () and Ludovic Mercier
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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
Ludovic Mercier: Dexia - Dexia

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Abstract: Different prediction methods for chaotic deterministic systems are compared. Two methods of reconstructing the dynamics of the systems are considered with a view to producing a profitable trading model. The methods are the neighbors' method and the radial basis functions method. The optimal prediction horizon according to the sampling time step and a reliable method to measure the prediction error are discussed. These methods are applied to the intra-day series of exchange rates.

Keywords: Chaotic systems; Nearest neighbors; Prediction; radial basis functions (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (6)

Published in European Journal of Finance, 2005, 11, pp.137 - 150

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00180862

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