Multidimensional Forecasting and Pattern Matching

Polanski, Arnold ORCID: (2014) Multidimensional Forecasting and Pattern Matching. In: Proceedings ITISE 2014. UNSPECIFIED, pp. 1161-1169. ISBN 978-84-15814-97-9

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We apply a pattern matching algorithm to multidimensional forecasting. The algorithm searches for occurrences of patterns in multidimensional time series and computes their predictive accuracy. A genetic algorithm breeds then patterns that maximize this accuracy evolving ever better predictors. In an application to financial data, we show that the most successful patterns in training samples can retain a statistically and economically significant predictive power out-of-sample.

Item Type: Book Section
Uncontrolled Keywords: multidimensional forecasting,genetic algorithms,pattern matching
Faculty \ School: Faculty of Social Sciences > School of Economics
UEA Research Groups: Faculty of Social Sciences > Research Groups > Economic Theory
Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance
Depositing User: Pure Connector
Date Deposited: 26 Nov 2014 16:16
Last Modified: 29 Jan 2023 06:30

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