Nearest Neighbor Algorithm for Stock Prices Forecasts


[LEFT]Creates a vector with forecasted values of a time series based on the
nearest neighbor algorithm

Statistics Toolbox

This is the algorithm involved on the use of the non-linear forecast of asset’s prices based on the nearest neighbor method.

The basic idea of the NN algorithm is that the time series copies it’s own past behavior, and such fact can be used for forecasting pourposes. On the zip file there are two functions: one is the univariate version of NN (nn.m) and the other is the multivariate approach, also called simultaneous NN (snn.m).

The rotines of the file were build according to the work of Rodriguez, Rivero and Artilles (2001).
For a more complete description of the method, please check the word document on the zip file. [/left]

(yyx516) #2

Thank you for sharing