Revisiting Dynamical System-Based Financial Forecasting: The Role of Smoothing Methods
This study examines the role of causal smoothing in dynamical system-based financial forecasting by integrating an asymmetric backward Savitzky-Golay (SG) filter into the new Price Reversion Model (nPRM) and comparing it with conventional moving-average preprocessing on the S&P 500 index. Despite the theoretical advant...