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The Taub Faculty of Computer Science Events and Talks

Short-term turning points forecasting in financial time series
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Alexandra Faynburd (M.Sc. Thesis Seminar)
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Wednesday, 02.03.2011, 13:30
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Taub 601
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Advisor: Prof. Ran El-Yaniv
We consider the problem of forecasting turning points in time series and develop an autoregressive prediction algorithm, that relies on a novel turning point indicator and support vector regression. The algorithm is analyzed and compared to existing methods in the context of financial forecasting.