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Adaptive order flow forecasting with multiplicative error models

Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher - 2014

A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...

Persistent link: https://www.econbiz.de/10010374563

Predicting financial market crashes using ghost singularities

Smug, Damian; Ashwin, Peter; Sornette, Didier - 2017

We analyse the behaviour of a non-linear model of coupled stock and bond prices exhibiting periodically collapsing bubbles. By using the formalism of dynamical system theory, we explain what drives the bubbles and how foreshocks or aftershocks are generated. A dynamical phase space...

Persistent link: https://www.econbiz.de/10011762259

Predictive Regressions under Arbitrary Persistence and Stock Return Predictability

Borup, Daniel; Christensen, Bent Jesper; Ergemen, Yunus Emre - 2021

We present a novel approach to analyzing stock return predictability that accommodates (i) arbitrary predictor persistence, (ii) panels with common factors, (iii) multiple predictors, (iv) short- and long-horizon analysis, and relies on standard inference from least-squares estimation of a...

Persistent link: https://www.econbiz.de/10013238244

Forecasting Base Metal Prices with an International Stock Index

Pincheira, Pablo M.; Hardy, Nicolas; Henriquez, Cristóbal - 2021

In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...

Persistent link: https://www.econbiz.de/10013226962

Price Impact of Order Flow Imbalance : Multi-level, Cross-asset and Forecasting

Cont, Rama; Cucuringu, Mihai; Zhang, Chao - 2022

We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we show that taking into account multiple levels of the order book when defining order book imbalance leads to higher explanatory power for the contemporaneous price...

Persistent link: https://www.econbiz.de/10013309799

Uncertainty of Macroeconomic Forecasters and the Prediction of Stock Market Bubbles

Herwartz, Helmut - 2014

We assess the contribution of macroeconomic uncertainty - approximated by the dispersion of the real GDP survey forecasts - to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years, two alternative binary chronologies of bubble periods are...

Persistent link: https://www.econbiz.de/10013048399

Forecasting Stock Volatility with a Large Set of Predictors : A New Forecast Combination Method

Gong, Xue; Zhang, Weiguo; Zhao, Yuan; Ye, Xin - 2022

weight, we develop two simple and effective forecast combination methods. Using an array of 86 equity, bond, forex, futures … realized volatility out-of-sample prediction performance relative to several extant forecast combinations. This result is … robust for different individual forecast models, for different dependent variables, and for different out-of-sample periods …

Persistent link: https://www.econbiz.de/10013296031

A penalized two-pass regression to predict stock returns with time-varying risk premia

Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - 2021

We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no arbitrage restrictions by regularizing appropriate groups of coefficients. The second...

Persistent link: https://www.econbiz.de/10012487589

Comfort: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - 2013

A new multivariate time series model with various attractive properties is motivated and studied. By extending the CCC model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility clustering, non-normality (excess kurtosis and asymmetry),...

Persistent link: https://www.econbiz.de/10010256409

Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2012

We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....

Persistent link: https://www.econbiz.de/10009526607

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