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Performance of a Nonparametric Multivariate Nearest Neighbor Model in the Prediction of Stock Index Returns
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並列摘要
This paper investigates the predictability of stock index returns using a nonparametric multivariate nearest neighbor model. A cross validation method that minimizes the mean square error is used to determine the embedding dimensions and the number of neighbors optimally. The performance of the proposed model is demonstrated using the KOSPI composite index and 16 industry indexes.
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被引用紀錄
吳宥廷（2009）。應用資料融合策略在磷酸化位置的預測〔碩士論文，亞洲大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0118-1511201215455502
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