Experimental investigation of forecasting methods based on data compression algorithms

  • Authors:
  • B. Ya. Ryabko;V. A. Monarev

  • Affiliations:
  • Aff1 Aff1;Institute of Computational Technologies, Siberian Branch of the RAS, Novosibirsk

  • Venue:
  • Problems of Information Transmission
  • Year:
  • 2005

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Abstract

We suggest and experimentally investigate a method to construct forecasting algorithms based on data compression methods (or the so-called archivers). By the example of predicting currency exchange rates we show that the precision of thus obtained predictions is relatively high.