On the Use of Backward Difference Formulae to Improve the Prediction of Direction in Market Related Data
Joint Authors
Momoniat, Ebrahim
Berman, M.
Harley, Charis
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-5, 5 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-12-01
Country of Publication
Egypt
No. of Pages
5
Main Subjects
Abstract EN
The use of a BDF method as a tool to correct the direction of predictions made using curve fitting techniques is investigated.
Random data is generated in such a fashion that it has the same properties as the data we are modelling.
The data is assumed to have “memory” such that certain information imbedded in the data will remain within a certain range of points.
Data within this period where “memory” exists—say at time steps t1,t2,…,tn—is curve-fitted to produce a prediction at the next discrete time step, tn+1.
In this manner a vector of predictions is generated and converted into a discrete ordinary differential representing the gradient of the data.
The BDF method implemented with this lower order approximation is used as a means of improving upon the direction of the generated predictions.
The use of the BDF method in this manner improves the prediction of the direction of the time series by approximately 30%.
American Psychological Association (APA)
Momoniat, Ebrahim& Harley, Charis& Berman, M.. 2013. On the Use of Backward Difference Formulae to Improve the Prediction of Direction in Market Related Data. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-5.
https://search.emarefa.net/detail/BIM-1032058
Modern Language Association (MLA)
Momoniat, Ebrahim…[et al.]. On the Use of Backward Difference Formulae to Improve the Prediction of Direction in Market Related Data. Mathematical Problems in Engineering No. 2013 (2013), pp.1-5.
https://search.emarefa.net/detail/BIM-1032058
American Medical Association (AMA)
Momoniat, Ebrahim& Harley, Charis& Berman, M.. On the Use of Backward Difference Formulae to Improve the Prediction of Direction in Market Related Data. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-5.
https://search.emarefa.net/detail/BIM-1032058
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1032058