Financial Time Series Forecasting based on Nonlinear Tracking-Differentiator
Min Zhang · Systems Engineering - Theory & Practice · 2007
This paper forecasts the SHCI in a creative way with the second order and the third order discrete form of Nonlinear Tracking-Differentiator,which is be based upon the principle of the Nonlinear Tracking-Differentiator.The results shows preferable forecasting effect that the second order discrete form of Nonlinear Tracking-Differentiator can control the relative forecasting error within 8 percent and the third order discrete form of Nonlinear Tracking-Differentiator can control the relative forecasting error within 5 percent.