Applications of Least Mean Square (LMS) Algorithm Regression in Time-Series Analysis

Abstract

In this paper we present a very brief description of least mean square algorithm with applications in time-series analysis of economic and financial time series. We present some numerical applications; forecasts for the Gross Domestic Product growth rate of UK and Italy, forecasts for S&P 500 stock index returns and finally we examine the day of the week effect of FTSE 100 for a short period. A full programming routine written in MATLAB software environment is provided for replications and further research applications.LMS; Least Mean Square Algorithm; MATLAB; time-series; stock returns; gross domestic product; forecast