Experimental Analysis of the Prediction Model Based on String Invariants

Abstract

A new approach of the string theory called the Prediction Model Based on String Invariants (PMBSI) was applied here to time-series forecast. We used 2-end-point open string that satisfies the Dirichlet and Neumann boundary conditions. The initial motivation was to transfer modern physical ideas into the neighboring field called econophysics. The physical statistical viewpoint has proved to be fruitful, namely in the description of systems where many-body effects dominate. However, PMBSI is not limited to financial forecast. The main advantage of PMBSI include absence of the learning phase when large number of parameters must be set. Comparative experimental analysis of PMBSI vs. SVM was performed and the results on artificial and real-world data are presented. PMBSI performance was in a close match with SVM.