Non-Linear Modelling in the Brazilian Market: Evaluating the Forecasting Performance of NN Univariate Nearest Neighbor and SNN Simultaneous Nearest Neighbour Forecasting Algorithm

Marcelo S. Perlin, Paulo S. Ceretta

2007 · REAd. Revista Eletrônica de Administração (Porto Alegre. Online) · ISSN 1413-2311

Abstract

This paper presents an empirical evaluation of non-linear forecasting models applied to the Brazilian financial market. The study compares the predictive performance of Univariate Nearest Neighbor (NN) and Simultaneous Nearest Neighbour (SNN) forecasting algorithms in financial time series.

Reference

@article{perlin2007,
  title = {Non-Linear Modelling in the Brazilian Market: Evaluating the Forecasting Performance of NN Univariate Nearest Neighbor and SNN Simultaneous Nearest Neighbour Forecasting Algorithm},
  author = {Marcelo S. Perlin, Paulo S. Ceretta},
  journal = {REAd. Revista Eletrônica de Administração (Porto Alegre. Online)},
  year = {2007},
  issn = {1413-2311},
  url = {http://read.adm.ufrgs.br/}
}