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Algorithms comparison on intraday index return prediction：evidence from China

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Listed:
  • Xiang Li
  • Xianghui Yuan
  • Jin Yuan
  • Hailun Xu

Abstract

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.

Suggested Citation

  • Xiang Li & Xianghui Yuan & Jin Yuan & Hailun Xu, 2021. "Algorithms comparison on intraday index return prediction：evidence from China," Applied Economics Letters, Taylor & Francis Journals, vol. 28(12), pages 995-999, July.
    • Handle: RePEc:taf:apeclt:v:28:y:2021:i:12:p:995-999
    DOI: 10.1080/13504851.2020.1791793
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    Cited by:

    1. Yuan, Xianghui & Li, Xiang, 2022. "Delta-hedging demand and intraday momentum: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).

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