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
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Zusammenfassung: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.
Bibliographie:ObjectType-Article-1
SourceType-Scholarly Journals-1
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content type line 14
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2020.1791793