The evolution of financial data shows a high degree of volatility of the series, coupled with increasing difficulties of forecasting the shorter is the time horizon, when using standard (i.e., based on linear models) forecasting methods. Some alternative forecasting methods for non-linear time...

The purpose of this paper is to contribute to the debate on the relevance of non-linear predictors of high-frequency data in foreign exchange markets. To that end, we apply nearest-neighbour (NN) predictors, inspired by the literature on forecasting in non-linear dynamical systems, to...