Non-linear financial time series forecasting - Application to the Bel 20 stock market index

@inproceedings{Lendasse2000NonlinearFT,
  title={Non-linear financial time series forecasting - Application to the Bel 20 stock market index},
  author={Amaury Lendasse and Eric de Bodt and Vincent Wertz and Michel Verleysen},
  year={2000}
}
– We developed in this paper a method to predict time series with non-linear tools. The specificity of the method is to use as much information as possible as input to the model (many past values of the series, many exogenous variables), to compress this information (by a non-linear method) in order to obtain a state vector of limited size, facilitating the subsequent regression and the generalization ability of the forecasting algorithm and to fit a non-linear regressor (here a RBF neural… CONTINUE READING

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