gold-prices' time series, conversion to [0,1]

[Grace Wahba]

    	I'm using neural networks to predict financial time series, 
    specifically the gold-prices' time series. 
    
    I have mainly used LINEAR CONVERTION (original data value converted to 
    the ranges 0, 1 or -1,+ 1), but it does not seem to work properly.
    
    My results for the single-step mode are good, but i think it could be 
    better.
    
    On the other hand, for the multi-step, the results are very bad.

You might look at 
	
	AUTHOR = {D. McCaffrey and S. Ellner and A. R. Gallant and D. Nychka},
        TITLE = {Estimating the Lyapunv exponent of a chaotic system witn 
	nonparametric regression}, 
        JOURNAL = {J. Amer. Statist. Assoc.},
        YEAR = {1992},
        VOLUME = {87},
        PAGES = {682-695}

Among other things, they consider the model

	x_t = f(x_{t-1},..., x_{t-d}) + \sigma\epsilon_t

and look at the estimation of  f( .,...,.) using thin 
plate splines and other radial basis functions.

Grace Wahba wahba at stat.wisc.edu