The motivation of this paper is to introduce a short term adaptive model (Partial Swarm Optimizer combined with linear and nonlinear models when applied to the task of forecasting and trading the daily closing returns of the FTSE100 exchange traded funds (ETFs). This is done by benchmarking its...

Intraday and high frequency time series are mostly defined by a non-continuous prices process. This paper introduces an integer based ARMA model found to be a better predictor for absolute intraday price changes than continuous time estimators (such as GARCH or multiplicative error models)....