On the use of nearest neighbors in finance

Nicolas Huck (1) , Dominique Guegan (1)

1 IDHE - Institutions et Dynamiques Historiques de l'Economie

The paper focuses on the conditions of the use of the nearest neighbors method analysing the impact of the Euclidean distance and in sample predictions, the choice of the neighbors, the number of neighbors and the distance between the neighbors.

Mots clés: Nearest neighbors; Forecasting

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Nicolas Huck, Dominique Guegan. On the use of nearest neighbors in finance. Finance, 2005, 26, pp.67-86. ⟨halshs-00180858⟩