Wpływ redukcji poziomu szumu losowego metodą najbliższych sąsiadów na dokładność prognoz finansowych szeregów czasowych

• Authors: Katarzyna Zeug-Żebro

Title variants

EN

Effect of Reduction of Random Noise by Method the Nearest Neighbors on the Accuracy of Forecasts of the Financial Time Series

• Languages of publication: PL

Abstracts

EN

The real time series xt is usually disturbed by random noise. His source may be errors of measurement and errors of rounding made during data analysis. The random noise may also represent an exogenous factors affecting the dynamics of the system or be a consequence of the statistical nature of the phenomena, e.g. which are affected by human decisions. Since the presence of noise in the data can significantly affect the quality of the forecasts, the aim of the article will be to evaluate the accuracy of predicting the time series filtered using the method of nearest neighbors. The test will be conducted on the basis of the financial time series, which consist of closing prices of companies listed on the Warsaw Stock Exchange and the daily exchange rates.

Keywords

PL

Metoda najbliższego sąsiedztwa; Rynek papierów wartościowych; Rynek walutowy; Szeregi czasowe

EN

Exchange market; Neighbor joining distance method; Securities market; Time-series

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 146
• Pages: 111-118

Contributors

author

Katarzyna Zeug-Żebro

References

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Identifiers

ISSN

2083-8611