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Previsão de retornos intradiários através de regressões usando funções-núcleo

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  • Pereira, Pedro L. Valls

Abstract

The contributions of this paper are twofold. First we discuss and apply a method for the evaluation of non linear regressions in forecasting intraday returns of Brazilian stocks, in order to maximize the return of a simulated trading portfolio. Second, Kernel regressions associated with Nearest Neighbors sample partitioning are carried out. Some independent variables are technical indicators, which parameters are optimized in-the-sample. The results are positive as a trading strategy and outperformed by a small difference the linear autoregression benchmark model in a quartile per quartile analysis

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  • Pereira, Pedro L. Valls, 2009. "Previsão de retornos intradiários através de regressões usando funções-núcleo," Textos para discussão 178, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    • Handle: RePEc:fgv:eesptd:178
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