Kernel Ridge Regression with Odd Kernels in Financial Time Series Prediction
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F11%3A00181846" target="_blank" >RIV/68407700:21230/11:00181846 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Kernel Ridge Regression with Odd Kernels in Financial Time Series Prediction
Original language description
Kernel ridge regression is applied to the prediction of short-time trends in futures contract prices based on high frequency price time series. A new type of kernels is proposed to model dependencies by odd functions. Experimental results for both traditional kernels and their odd counterparts are reported. The results show that the odd kernels outperform the traditional kernels in the considered setup.
Czech name
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Czech description
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Classification
Type
O - Miscellaneous
CEP classification
JC - Computer hardware and software
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů