Title: Non-Linear Forecasting in High-Frequency Financial Time Series
Citation: PHYSICA A vol. 353 p. 463-479
Publisher: ELSEVIER
Publication Year: 2005
JRC N°: JRC31135
URI: http://publications.jrc.ec.europa.eu/repository/handle/JRC31135
Type: Articles in periodicals and books
Abstract: A new methodology based on state space reconstruction techniques has been developed for trading in financial markets. The methodology has beed tested using eighteen high-frequency foreign exchange time series. The results are in apparent contradiction with the Efficient Market Hypothesis (EMH) which states that no profitable information about future movements can be obtained by studying the past prices series. In our (off-line) analysis positive gain may be obtained in all those series. The trading methodology is quite general and may be adapted to other financial time series. Finally, the steps for its on-line application are discussed.
JRC Directorate:Sustainable Resources

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