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...

Celý popis

Uloženo v:
Podrobná bibliografie
Vydáno v:Applied economics letters Ročník 28; číslo 12; s. 995 - 999
Hlavní autoři: Li, Xiang, Yuan, Xianghui, Yuan, Jin, Xu, Hailun
Médium: Journal Article
Jazyk:angličtina
Vydáno: London Routledge 12.07.2021
Taylor & Francis LLC
Témata:
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
On-line přístup:Získat plný text
Tagy: Přidat tag
Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!
Popis
Shrnutí: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 mainly from two conflict signals, with one amplitude far greater than the other.
Bibliografie:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2020.1791793