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On the use of nearest neighbors in finance

Author

Listed:
  • Nicolas Huck

    (IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Dominique Guegan

    () (IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

The paper focuses on the conditions of the use of the nearest neighbors method analysing the impact of the Euclidean distance and in sample predictions, the choice of the neighbors, the number of neighbors and the distance between the neighbors.

Suggested Citation

  • Nicolas Huck & Dominique Guegan, 2005. "On the use of nearest neighbors in finance," Post-Print halshs-00180858, HAL.
  • Handle: RePEc:hal:journl:halshs-00180858
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00180858
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    Cited by:

    1. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," Documents de travail du Centre d'Economie de la Sorbonne 10065, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    More about this item

    Keywords

    Forecasting; Nearest neighbors;

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