基于新的快速估计方法的时间序列技术分析--金融数学的初步研究
Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance
摘要：
新的快速估计方法源于控制理论导致一个新的看时间序列，它承担一些类似于“技术分析”。结果被应用到金融工程的一个典型对象，即外汇汇率的预测，通过一个“无模型”的设置，即，通过在滑动短时窗上反复辨识低阶线性差分方程。几个令人信服的计算机模拟，包括预测的位置和波动相对于预测的趋势线，提供。$\mathcal{Z}$ -变换和微分代数是主要的数学工具。
英文摘要：
New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of foreign exchange rates, via a "model-free" setting, i.e., via repeated identifications of low order linear difference equations on sliding short time windows. Several convincing computer simulations, including the prediction of the position and of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential algebra are the main mathematical tools.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
