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

23 Pages Posted: 28 Aug 2010

See all articles by Eleftherios Giovanis

Eleftherios Giovanis

Izmir Bakircay University Department of International Trade and Business; Economic Research Forum (ERF)

Date Written: August 28, 2010

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.

Keywords: LMS, Least Mean Square Algorithm, MATLAB, Time-Series, Stock Returns, Gross Domestic Product, Forecast

JEL Classification: C22, C45, C53, C63, G10

Suggested Citation

Giovanis, Eleftherios, Applications of Least Mean Square (LMS) Algorithm Regression in Time-Series Analysis (August 28, 2010). Available at SSRN: https://ssrn.com/abstract=1667440 or http://dx.doi.org/10.2139/ssrn.1667440

Eleftherios Giovanis (Contact Author)

Izmir Bakircay University Department of International Trade and Business ( email )

Gazi Mustafa Kemal Mahallesi
Kaynak Caddesi Seyrek Menemen
Izmir, 35660
Turkey

Economic Research Forum (ERF) ( email )

21 Al-Sad Al-Aaly St.
(P.O. Box: 12311)
Dokki, Cairo
Egypt

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