Forecasting Performance of Nonlinear Models for Intraday Stock Returns

DOI10.1002/for.1218zbMath1397.62427OpenAlexW1538545414MaRDI QIDQ4687256

J. M. Matías, Juan C. Reboredo

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1218

zbMATH Keywords

neural networkshigh-frequency datanonparametric kernel regressionsmooth transition regressionstock price forecastingMarkov switching regressionsupport vector machine regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (3)

Neural networks in financial trading ⋮ Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and particle swarm optimization ⋮ Functional prediction of intraday cumulative returns

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