Nearest Neighbour Algorithm for Stock Prices Forecasts (Scripts) Publisher's description
from Marcelo Perlin
This is the algorithm involved on the use of the non-linear forecast of asset's prices based on the nearest neighbour method
This is the algorithm involved on the use of the non-linear forecast of asset's prices based on the nearest neighbour method.
The basic idea of the NN algorithm is that the time series copies it's own past behavior, and such fact can be used for forecasting purposes. On the zip file there are two functions: one is the univariate version of NN (nn.m) and the other is the multivariate approach, also called simultaneous NN (snn.m).
The routines of the file were build according to the work of Rodriguez, Rivero and Artilles (2001).
For a more complete description of the method, please check the pdf document on the zip file.
System Requirements:MATLAB 7 (R14)
Program Release Status: Major Update
Program Install Support: Install and Uninstall