小霸王

What is the best method to extrapolate financial time series?

Quantitative Model


As titled, from you guys experience, what would be the best extrapolation method suggested for future price prediction?
 
Gary Fung
The financial market is full of uncertain. It is impossible to predict or extrapolate. 
 
Henry Tsai
There are a lot of statistical models available for prediction tasks. 
Personally speaking, I prefer to use time series models like ARIMA which is more applicable to handle financial time series data. 
As what Gary mentioned, the financial market is full of uncertain, no model will work for long range extrapolation.