NONLINEAR FORECASTING OF THE GOLD MINER SPREAD: AN APPLICATION OF CORRELATION FILTERS

SUMMARY This paper models and forecasts the Gold Miner Spread from 23 May 2006 to 30 June 2011. The Gold Miner Spread acts as a suitable performance indicator for the relationship between physical gold and US gold equity. The contribution of this investigation is twofold. First, the accuracy of each...

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Veröffentlicht in:	Intelligent systems in accounting, finance & management Jg. 20; H. 4; S. 207 - 231
Hauptverfasser:	Dunis, Christian L., Laws, Jason, Middleton, Peter W., Karathanasopoulos, Andreas
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Chichester Blackwell Publishing Ltd 01.10.2013 Wiley Periodicals Inc
Schlagworte:	correlation filter Forecasting techniques Genetic algorithms genetic programming algorithm Gold Gold markets multilayer perceptron neural network Neural networks particle swarm optimization radial basis function neural network Spread spread trading Stochastic models Studies United States > US
ISSN:	1550-1949, 2160-0074
Online-Zugang:	Volltext
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