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Short-term turning points forecasting in financial time series
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Alexandra Faynburd, M.Sc. Thesis Seminar
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Wednesday, 2.3.2011, 13:30
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Taub 601
We consider the problem of forecasting turning points in time series and develop an autoregressive prediction algorithm, that relies on a novel turning point indicator and support vector regression. The algorithm is analyzed and compared to existing methods in the context of financial forecasting.
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