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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Vydáno v:	Intelligent systems in accounting, finance & management Ročník 20; číslo 4; s. 207 - 231
Hlavní autoři:	Dunis, Christian L., Laws, Jason, Middleton, Peter W., Karathanasopoulos, Andreas
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Chichester Blackwell Publishing Ltd 01.10.2013 Wiley Periodicals Inc
Témata:	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
On-line přístup:	Získat plný text
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