A Comparison of Model Selection Procedures for Predicting Turning Points in Financial Time Series.
Thorsten PoddigClaus HuberPublished in: PKDD (1999)
Keyphrases
- model selection
- turning points
- financial time series
- cross validation
- stock market
- financial data
- parameter estimation
- non stationary
- regression model
- feature selection
- machine learning
- stock price
- exchange rate
- selection criterion
- multivariate time series
- unsupervised learning
- information extraction
- long term
- growth rate
- information criterion