Algorithms comparison on intraday index return prediction：evidence from China

We introduce the fading memory recursive least squares (FM-RLS) and rolling window ordinary least squares (RW-OLS) methods to predict CSI 300 intraday index return in Chinese stock market. Empirical results show that the performances are better than that of same sign method. The additional profit is...

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Bibliographic Details

Published in:	Applied economics letters Vol. 28; no. 12; pp. 995 - 999
Main Authors:	Li, Xiang, Yuan, Xianghui, Yuan, Jin, Xu, Hailun
Format:	Journal Article
Language:	English
Published:	London Routledge 12.07.2021 Taylor & Francis LLC
Subjects:	Economic analysis Economic theory Economics fading memory recursive least squares model Indexes Least squares model predictability Recursion rolling window ordinary least squares model same sign model Securities markets Stock exchanges China
ISSN:	1350-4851, 1466-4291
Online Access:	Get full text
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