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...

Full description

Bibliographic Details

Published in:	Intelligent systems in accounting, finance & management Vol. 20; no. 4; pp. 207 - 231
Main Authors:	Dunis, Christian L., Laws, Jason, Middleton, Peter W., Karathanasopoulos, Andreas
Format:	Journal Article
Language:	English
Published:	Chichester Blackwell Publishing Ltd 01.10.2013 Wiley Periodicals Inc
Subjects:	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 Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!