On the Use of Nearest Neighbors in Finance
Type de matériel :
TexteLangue : français Détails de publication : 2005.
Ressources en ligne : Abrégé : Nearest Neighbors are a non linear non parametric forecasting method often used in finance. This work focuses on the way Nearest Neighbors are applied in the existing literature. We observe that the selection methods of the embedding dimension and of the number of neighbors via phase space reconstruction and in sample predictions leads to distort the idea underlying the Nearest Neighbors approach. Propositions for a better usage of Nearest Neighbors are given.
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Nearest Neighbors are a non linear non parametric forecasting method often used in finance. This work focuses on the way Nearest Neighbors are applied in the existing literature. We observe that the selection methods of the embedding dimension and of the number of neighbors via phase space reconstruction and in sample predictions leads to distort the idea underlying the Nearest Neighbors approach. Propositions for a better usage of Nearest Neighbors are given.
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