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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Vydané v:	Applied economics letters Ročník 28; číslo 12; s. 995 - 999
Hlavní autori:	Li, Xiang, Yuan, Xianghui, Yuan, Jin, Xu, Hailun
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	London Routledge 12.07.2021 Taylor & Francis LLC
Predmet:	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
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