Predicting the CDS return index

M. P. Hanias, L. Magafas, A. Ozun
2011 Journal of Engineering Science and Technology Review  
This paper sets out to apply concepts of non linear dynamics theory nai neural networks to the prediction of CDS index using Greek, Turkey, Russia, Brazil and China data. The research employs the method of false near neighbors in the time series analysis in order to estimate the minimum membedding dimensions of the corresponding strange attractor. To achieve out of the sample multistep ahead prediction, a neural net is constructed which architectures based on strange attractors topological properties
doi:10.25103/jestr.043.19 fatcat:uei4h2o7njayvjfkshvrerxkty