With string model to time series forecasting

Abstract

Overwhelming majority of econometric models applied on a long term basis in the financial forex market do not work sufficiently well. The reason is that transaction costs and arbitrage opportunity are not included, as this does not simulate the real financial markets. Analyses are not conducted on the non equidistant date but rather on the aggregate date, which is also not a real financial case. In this paper, we would like to show a new way how to analyze and, moreover, forecast financial market. We utilize the projections of the real exchange rate dynamics onto the string-like topology in the OANDA market. The latter approach allows us to build the stable prediction models in trading in the financial forex market. The real application of the multi-string structures is provided to demonstrate our ideas for the solution of the problem of the robust portfolio selection. The comparison with the trend following strategies was performed, the stability of the algorithm on the transaction costs for long trade periods was confirmed.

13 figures, 2 tables. arXiv admin note: text overlap with arXiv:physics/0205053 by other authors

References in corpus (5)

• A quantum model for the stock market
• Quantum Auctions: Facts and Myths
• Stock markets and quantum dynamics: a second quantized description
• The minimal length uncertainty and the quantum model for the stock market
• The string prediction models as an invariants of time series in forex market

Cited by in corpus (9)

• Kolmogorov Space in Time Series Data
• The study of Thai stock market across the 2008 financial crisis
• The Chern-Simons current in systems of DNA-RNA transcriptions
• Support Spinor Machine
• Anomaly on Superspace of Time Series Data
• Identification of market trends with string and D2-brane maps
• Using String Invariants for Prediction Searching for Optimal Parameters
• GARCH(1,1) model of the financial market with the Minkowski metric
• D-Brane solutions under market panic