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Short Time Segment Price Forecasts Using Spline Fit Interactions

In: Practical Fruits of Econophysics

Author

Listed:
  • Ke Xu

    (Barnett Institute)

  • Jun Chen

    (Bloomberg LP)

  • Jian Yao

    (Barnett Institute)

  • Zhaoyang Zhao

    (Barnett Institute)

  • Tao Yu

    (Barnett Institute)

  • Kamran Dadkhah

    (Northeastern University)

  • Bill C. Giessen

    (Barnett Institute)

Abstract

Summary Empirically, correlations are seen to exist between market action in specific, short market periods such as the AM, PM and overnight (ON) periods for different days of the week on the one hand and market trends (on various time scales) on the other hand. We use real-time spline fits with tunable smoothness parameters and their signs to obtain signals for these market periods and show that they are stationary (and tradable) for S&P 500 futures.

Suggested Citation

  • Ke Xu & Jun Chen & Jian Yao & Zhaoyang Zhao & Tao Yu & Kamran Dadkhah & Bill C. Giessen, 2006. "Short Time Segment Price Forecasts Using Spline Fit Interactions," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 111-115, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_19
    DOI: 10.1007/4-431-28915-1_19
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