Forecasting in Matlab

Hi there, I hear MATLAB is very good for forecasting. Lets say we want to forecast a financial time series, what model would be appropriate?

If anyone has experience I would love to hear from them.

Thanks.

Answer 1

[Jan]

Of course there is no best forecasting for the next 1000 minutes based on the development of the last 10 years. If there is such a best method, thousands of brokers would use it and in consequence the price would be influenced systematically.

Therefore, with all respect to all researchers in the financial field, the most accurate forcasting is the current price and an exponentially growing area of insecurity.

Sorry for this dull and pessimistic opinion. If I had a more accurate (and this implies repeatability and reliablility also) solution for this problem, I'd apply it to earn billions of dollars in some weeks.

Answer 2

[Sargondjani]

This depends on what you want... what is your input? what should your output be?? how sophisticated?

This is more a 'forecasting question', because I'm sure Matlab is flexible enough to handle all different forecasting types...

[Mate 2u]

Input is a series of close 1 minute prices for the last 10 years. Output would be lets say the close 1 minute prices for the next 100-1000 minutes. I don't mind for sophistication, the most accurate forecasting method would be best.