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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Summary: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.
Bibliography:ObjectType-Article-1
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content type line 14
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2020.1791793