Prediction methods

Posted: April 16, 2010 in Forecasting, Prediction
Tags: , , ,

I have been working to create some files for predictive methods in finance.  The first of these will be a double exponential smoothing prediction.  Hopefully followed by Kalman’s approach and a few others.

The basic method may be found in this (http://www.ljmu.ac.uk/Images_Everyone/Jozef_1st.pdf) paper by Dunis.

Initial results (below) where as expected without optimizing the MSE of the set:

As always, the related file is in the SourceForge repository (https://sourceforge.net/projects/autospreader/files) under DESP.xls.  Optimize it if you are feeling ambitious and make sure I made no errors; threw it together in about 5 minutes for fun after reading the paper.

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