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Histogram-based prediction of directional price relatives

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  • Roch, Oriol

Abstract

A model of directional prediction of price relatives is proposed following the histogram-based scheme developed in Györfi et al. (2006). This methodology allows us to exploit potential information contained in multivariate series of price relatives. The impact of the model is studied from the perspective of an economic agent through the use of double linear loss functions. A numerical example with real data is presented to illustrate the model.

Suggested Citation

  • Roch, Oriol, 2013. "Histogram-based prediction of directional price relatives," Finance Research Letters, Elsevier, vol. 10(3), pages 110-115.
  • Handle: RePEc:eee:finlet:v:10:y:2013:i:3:p:110-115
    DOI: 10.1016/j.frl.2013.06.003
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    References listed on IDEAS

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    More about this item

    Keywords

    Directional prediction; Return sign dependence; Asymmetric loss; Exchange rates;

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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