Direct multiperiod forecasting for algorithmic trading

DOI10.1002/for.2488zbMath1397.62344OpenAlexW2754958436MaRDI QIDQ4687662

Hiroyuki Kawakatsu

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2488

zbMATH Keywords

nonlinear transformationsmultistep forecastinglag length selectionintraday forecastingvolume weight average price

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

Related Items (1)

Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume

Cites Work

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• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Selecting optimal multistep predictors for autoregressive processes of unknown order.
• Smearing Estimate: A Nonparametric Retransformation Method
• Tests of Conditional Predictive Ability

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