Prediction of stock market indexes
by analogues complexing
On the base of observations in the period of February, 22 to May
30, 1995 (66 days) the analogue complexing algorithm was used. Table
shows prediction error (MAD [%]) of four variables (Dollar, Dax,
F.A.Z., Dow Jones) and the mean prediction error over 7 variables.
The width of the patterns varies from 6 to 15 days.
Width |
6 |
7 |
8 |
9 |
10 |
11 |
12 |
13 |
14 |
15 |
Dollar |
2.61 |
3.28 |
2.62 |
2.79 |
2.91 |
2.91 |
1.86 |
1.48 |
2.16 |
8.96 |
F.A.Z. |
1.42 |
2.61 |
1.59 |
1.48 |
1.19 |
1.39 |
1.43 |
1.87 |
0.72 |
1.12 |
Dax |
1.48 |
1.70 |
1.7 |
2.31 |
2.96 |
2.76 |
2.76 |
2.61 |
2.37 |
1.12 |
Dow J |
1.36 |
1.71 |
1.62 |
6.98 |
5.39 |
4.65 |
4.97 |
3.85 |
3.36 |
2.79 |
Mean
|
1.17 |
1.57 |
1.58 |
2.36 |
2.46 |
2.08 |
1.94 |
1.79 |
1.63 |
1.88 |
The forecasts are obtained by means of linear combination of the
continuations of 5 selected analogues patterns, where the unknown
weights gj of complexing are estimated by means of parametric
algorithms.
|