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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Veröffentlicht in:	Applied economics letters Jg. 28; H. 12; S. 995 - 999
Hauptverfasser:	Li, Xiang, Yuan, Xianghui, Yuan, Jin, Xu, Hailun
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	London Routledge 12.07.2021 Taylor & Francis LLC
Schlagworte:	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-Zugang:	Volltext
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