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INFFC Data Analysis: Lower Bounds and Testbed Design Recommendat ions

By Radu Drossu and Zoran Obradawit


This article summarizes the results of an exploratory data analysis or1 the INFFC competition time series. The analysis provides evidence that the problem is non-stationary and that the interpolation process for filling-in missing values alters the data distribution. The accuracy for trivial and linear predictors, determined in order to establish accuracy lower bounds for reasonable nonlinear pred iction systems, identifies competition entries with prediction accuracien below the provided bounds. Finally, testbed design recommendations for future financial time series competitions are extracted from the results of this analysis.

Year: 2013
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