Dynamics of Predictability and Variable Influences Identified in Financial Data Using Sliding Window Machine Learning

Winkler, Stephan; Kronberger, Gabriel; Kommenda, Michael; Fink, Sébastian; Affenzeller, Michael

doi:10.1007/978-3-319-27340-2_41

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Forecasting Methods Challenges1

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2024

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“…Secondly, they also considered forecast combination advantages over the simple selection of the best fitting solution. An improvement in forecasting with rolling windows was also noticed by Winkler et al (2015aWinkler et al ( , 2015b. Furthermore, Lee (1999) advocated recursive computations for time-series modelling with symbolic regression.…”

Section: Forecasting Methods Challengesmentioning

confidence: 96%

Forecasting Selected Commodities’ Prices with the Bayesian Symbolic Regression

Drachal,

Pawłowski

2024

IJFS

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This study firstly applied a Bayesian symbolic regression (BSR) to the forecasting of numerous commodities’ prices (spot-based ones). Moreover, some features and an initial specification of the parameters of the BSR were analysed. The conventional approach to symbolic regression, based on genetic programming, was also used as a benchmark tool. Secondly, various other econometric methods dealing with variable uncertainty were estimated including Bayesian Model Averaging, Dynamic Model Averaging, LASSO, ridge, elastic net, and least-angle regressions, etc. Therefore, this study reports a concise and uniform comparison of an application of several popular econometric models to forecasting the prices of numerous commodities. Robustness checks and statistical tests were performed to strengthen the obtained conclusions. Monthly data beginning from January 1988 and ending in August 2021 were analysed.

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Section: Forecasting Methods Challengesmentioning

confidence: 96%