Evolutionary Frequency and Forecasting Accuracy: Simulations Based on an Agent-Based Artificial Stock Market
Sign Up to like & getrecommendations! Published in 2018 at "Computational Economics"
DOI: 10.1007/s10614-017-9662-z
Abstract: Learning how to forecast is always important for traders, and divergent learning frequencies prevail among traders. The influence of the evolutionary frequency on learning performance has occasioned many studies of agent-based computational finance (e.g., Lettau… read more here.
Keywords: evolutionary frequency; forecasting accuracy; frequency forecasting; market ... See more keywords
On the impact of outlier filtering on the electricity price forecasting accuracy
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DOI: 10.1016/j.apenergy.2018.11.076
Abstract: Abstract Increasing the accuracy of short-term electricity price forecasting allows day-ahead power market participants to obtain a positive economic effect by bidding close to the equilibrium price. However the electricity price time-series is generally infested… read more here.
Keywords: forecasting accuracy; price forecasting; electricity price; price ... See more keywords
Volatility forecasting accuracy for Bitcoin
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DOI: 10.1016/j.econlet.2019.108836
Abstract: Abstract We analyze the quality of Bitcoin volatility forecasting of GARCH-type models applying different volatility proxies and loss functions. We construct model confidence sets and find them to be systematically smaller for asymmetric loss functions… read more here.
Keywords: bitcoin volatility; volatility; forecasting accuracy; accuracy bitcoin ... See more keywords
On the selection of forecasting accuracy measures
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DOI: 10.1080/01605682.2021.1892464
Abstract: A lot of controversy exists around the choice of the most appropriate error measure for assessing the performance of forecasting methods. While statisticians argue for the use of measures with good... read more here.
Keywords: selection forecasting; forecasting accuracy; accuracy measures;