Skip to main content
Springer Nature Link
Log in

Experimental investigation of forecasting methods based on data compression algorithms

  • Source Coding
  • Published:
Problems of Information Transmission Aims and scope Submit manuscript

    We’re sorry, something doesn't seem to be working properly.

    Please try refreshing the page. If that doesn't work, please contact support so we can address the problem.

Abstract

We suggest and experimentally investigate a method to construct forecasting algorithms based on data compression methods (or the so-called archivers). By the example of predicting currency exchange rates we show that the precision of thus obtained predictions is relatively high.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Subscribe and save

Springer+ Basic
$34.99 /Month
  • Get 10 units per month
  • Download Article/Chapter or eBook
  • 1 Unit = 1 Article or 1 Chapter
  • Cancel anytime
Subscribe now

Buy Now

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

REFERENCES

  1. Kolmogorov, A.N., Three Approaches to the Quantitative Definition of Information, Probl. Peredachi Inf., 1965, vol. 1, no.1, pp. 3–11 [Probl. Inf. Trans. (Engl. Transl.), 1965, vol. 1, no. 1, pp. 1–7].

    Google Scholar 

  2. Martin-Löf, P., The Definition of Random Sequences, Inf. Control, 1966, vol. 9, no.6, pp. 602–619.

    Google Scholar 

  3. Zvonkin, A.K. and Levin, L.A., Complexity of Finite Objects and the Algorithmic Concepts of Information and Randomness, Uspekhi Mat. Nauk, 1970, vol. 25, no.6, pp. 85–127 [Russian Math. Surveys (Engl. Transl.), 1970, vol. 25, no. 6, pp. 83–124].

    Google Scholar 

  4. Ryabko, B.Ya., Prediction of Random Sequences and Universal Coding, Probl. Peredachi Inf., 1988, vol. 24, no.2, pp. 3–14 [Probl. Inf. Trans. (Engl. Transl.), 1988, vol. 24, no. 2, pp. 87–96].

    Google Scholar 

  5. Morvai, G., Yakowitz, S.J., and Algoet, P., Weakly Convergent Nonparametric Forecasting of Stationary Time Series, IEEE Trans. Inform. Theory, 1997, vol. 43, no.2, pp. 483–498.

    Google Scholar 

  6. Kieffer, J., Prediction and Information Theory, Preprint of Univ. of Minnesota, 1998.

  7. Algoet P., Universal Schemes for Learning the Best Nonlinear Predictor Given the Infinite Past and Side Information, IEEE Trans. Inform. Theory, 1999, vol. 45, no.4, pp. 1165–1185.

    Google Scholar 

  8. Nobel, A.B., On Optimal Sequential Prediction, IEEE Trans. Inform. Theory, 2003, vol. 49, no.1, pp. 83–98.

    Google Scholar 

  9. Ryabko, B.Ya. and Topsoe, F., On Asymptotically Optimal Methods of Prediction and Adaptive Coding for Markov Source, J. Complexity, 2002, vol. 18, no.1, pp. 224–241.

    Google Scholar 

  10. Ryabko, B.Ya., The Complexity and Effectiveness of Prediction Algorithms, J. Complexity, 1994, vol. 10, pp. 281–295.

    Google Scholar 

  11. Kukushkina, O.V., Polikarpov, A.A., and Khmelev, D.V., Using Literal and Grammatical Statistics for Authorship Attribution, Probl. Peredachi Inf., 2001, vol. 37, no.2, pp. 96–109 [Probl. Inf. Trans. (Engl. Transl.), 2001, vol. 37, no. 2, pp. 172–184].

    Google Scholar 

  12. Cilibrasi, R., de Wolf, R., and Vitanyi, P., Algorithmic Clustering of Music, LANL e-print cs/0303025, 2003.

  13. Gallager, R.G., Information Theory and Reliable Communication, New York: Wiley, 1968. Translated under the title Teoriya informatsii i nadezhnaya svyaz’, Moscow: Sov. Radio, 1974.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Siberian State University of Telecommunication and Information Science Institute of Computational Technologies, Novosibirsk

    B. Ya. Ryabko & B. Ya. Ryabko

  2. Institute of Computational Technologies, Siberian Branch of the RAS, Novosibirsk

    V. A. Monarev

Authors
  1. B. Ya. Ryabko
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. V. A. Monarev
    View author publications

    You can also search for this author in PubMed Google Scholar

Additional information

Translated from Problemy Peredachi Informatsii, No. 1, 2005, pp. 74–78.

Original Russian Text Copyright © 2005 by Ryabko, Monarev.

Supported in part by the Russian Foundation for Basic Research, project no. 03-01-00495, and INTAS, Grant 00-738.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Ryabko, B.Y., Monarev, V.A. Experimental investigation of forecasting methods based on data compression algorithms. Probl Inf Transm 41, 65–69 (2005). https://doi.org/10.1007/s11122-005-0011-9

Download citation

  • Received:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11122-005-0011-9

Keywords