The Variable Forgetting Factor-based Local Average Model Algorithm for Prediction of Financial Time Series

机译：基于因子的局部局部平均模型算法，用于预测财务时间序列

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In this paper, we propose a variable forgetting factor-based local average model for estimation of future values of financial time series. The forgetting factor is applied to the existing local average model to govern the weights of past records for the estimation of the future records. By using the trend direction from the turning points of the financial time series, the value of the forgetting factor can be estimated. The results of performance comparison between the proposed variable forgetting factor-based local average model and the original local average model on the actual time series derived from the stocks listed in the Stock Exchange of Thailand are shown. The results suggest that the proposed method offers consistent less prediction errors than the existing method.

机译：在本文中，我们提出了一种基于因子的局部局部平均水平的局部平均模型，用于估计财务时间序列的未来价值。遗忘因子应用于现有的局部平均模型，以管理过去记录的过去记录的权重。通过使用金融时序的转折点的趋势方向，可以估计遗忘因子的值。展示了基于因子的遗传因素的局部局部平均模型与原始局部局部序列之间的性能比较结果显示，泰国证券交易所上市的股票上的实际时间序列。结果表明，所提出的方法提供比现有方法一致的预测误差。

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来源
《International Electrical Engineering Congress》|2017年|789p|共4页
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作者
Prakit Intachai; Peerapol Yuvapoositanon;
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中图分类 TM-53;
关键词
forgetting factor; local average model; turning point; prediction method; financial time series;

机译：遗忘因素;局部平均模型;转折点;预测方法;金融时间序列;

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3. Financial time series prediction using hybrids of chaos theory, multi-layer perceptron and multi-objective evolutionary algorithms [J] . Ravi Vadlamani, Pradeepkumar Dadabada, Deb Kalyanmoy Swarm and Evolutionary Computation . 2017,第期

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4. The Variable Forgetting Factor-based Local Average Model Algorithm for Prediction of Financial Time Series [C] . Prakit Intachai, Peerapol Yuvapoositanon International Electrical Engineering Congress . 2017

机译：基于因子的局部局部平均模型算法，用于预测财务时间序列
5. Time series modeling with hidden variables and gradient-based algorithms. [D] . Mirowski, Piotr. 2011

机译：使用隐藏变量和基于梯度的算法进行时间序列建模。
6. Time series prediction of under-five mortality rates for Nigeria: comparative analysis of artificial neural networks Holt-Winters exponential smoothing and autoregressive integrated moving average models [O] . Daniel Adedayo Adeyinka, Nazeem Muhajarine 2020

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7. Dynamical local models for segmentation and prediction of financial time series [O] . Azzouzi, M, Nabney, Ian T. 2001

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8. Estimation of Time Series Models. Part I. Yet another Algorithm for the Exact Likelihood of ARMA (Autoregressive-Moving Average) Models [R] . Tunnicliffe-Wilson, G. 1983

机译：时间序列模型的估计。第一部分aRma（自回归 - 移动平均）模型精确似然的另一种算法

The Variable Forgetting Factor-based Local Average Model Algorithm for Prediction of Financial Time Series

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