Dynamics of predictability and variable influences identified in financial data using sliding window machine learning

Research output: Chapter in Book/Report/Conference proceedingsConference contributionpeer-review

Abstract

In this paper we analyze the dynamics of the predictability and variable interactions in financial data of the years 2007–2014. Using a sliding window approach, we have generated mathematical prediction models for various financial parameters using other available parameters in this data set. For each variable we identify the relevance of other variables with respect to prediction modeling. By applying sliding window machine learning we observe that changes of the predictability of financial variables as well as of influence factors can be identified by comparing modeling results generated for different periods of the last 8 years. We see changes of relationships and the predictability of financial variables over the last years, which corresponds to the fact that relationships and dynamics in the financial sector have changed significantly over the last decade. Still, our results show that the predictability has not decreased for all financial variables, indeed in numerous cases the prediction quality has even improved.

Original languageEnglish
Title of host publicationComputer Aided Systems Theory – EUROCAST 2015 - 15th International Conference, Revised Selected Papers
EditorsFranz Pichler, Roberto Moreno-Díaz, Alexis Quesada-Arencibia
PublisherSpringer Verlag
Pages326-333
Number of pages8
ISBN (Print)9783319273396
DOIs
Publication statusPublished - 2015
Event15th International Conference on Computer Aided Systems Theory, Eurocast 2015 - Las Palmas, Gran Canaria, Spain
Duration: 8 Feb 201513 Feb 2015
http://eurocast2015.fulp.ulpgc.es/

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume9520
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Conference

Conference15th International Conference on Computer Aided Systems Theory, Eurocast 2015
CountrySpain
CityLas Palmas, Gran Canaria
Period08.02.201513.02.2015
Internet address

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