Half-drift forecasting for random walks

DOI10.1093/IMAMAN/DPAF037MaRDI QIDQ6895038zbMATH OpenFDO

Authors Foteini Kyriazi, Dimitrios Thomakos

Publication date 25 November 2025

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/IMAMAN/DPAF037

zbMATH Keywords

average forecastaverage MSEforecast combinationhalf-driftrandom walkrandom walk with drift

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A universal prior for integers and estimation by minimum description length
• Distance-based nearest neighbour forecasting with application to exchange rate predictability
• Fathoming the theta method for a unit root process
• Forecast combination across estimation windows
• Forecasting with the Theta Method
• scientific article; zbMATH DE number 849175 (Why is no real title available?)
• Modelling the CPI using a lognormal diffusion process and implications on forecasting inflation
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• The prescriptive nature of market timing and predictive portfolios

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