The prediction tag has no wiki summary.
6
votes
10answers
1k views
Using Black-Scholes equations to “buy” stocks
From what I understand, Black-Scholes equation in finance is used to price options which are a contract between a potential buyer and a seller. Can I use this mathematical framework to "buy" a stock? ...
32
votes
10answers
12k views
How can I go about applying machine learning algorithms to stock markets?
I am not very sure, if this question fits in here.
I have recently begun, reading and learning about machine learning. Can someone throw some light onto how to go about it or rather can anyone share ...
4
votes
2answers
296 views
Predict Market Direction, What is forecastable/unforecastable?
Let's decompose the return process $R_t$ as follows :
$$R_{t} = sign(R_{t}) * |R_{t}| $$
What's part of the equation is forecastable?
0
votes
0answers
108 views
effectiveness of linear regression in prediction [closed]
How effective is linear regression in predicting asset Price ?
If not, which is the most effective way to predicting an asset price?
Also,price movements are non-linear, why is linear regression ...
0
votes
1answer
230 views
Which prediction market model is efficient and simple to use?
For a college project I'm tasked with implementing prediction market. Which model of it I'd better choose?
I want something useful and simple enough for other people to quickly understand and use. ...
0
votes
1answer
150 views
Selecting timeframe for time series analysis
In technical analysis, we may use confluence of direction for 3 timeframes to roughly gauge bias of market now.
Similarly, if we use time series forecasting methods to predict(say daily data-whether ...
1
vote
1answer
420 views
Oscillatory time-series forecasting
I was wondering if this mean(160)-reverting/oscillatory time series "SUM" can be considered chaotic & forecastable to some extend short-term?
...
0
votes
2answers
178 views
Howto Calculate An Error's Partial Derivative in ANN
This is a follow-on question from this post I made, "Multilayer Perceptron (Neural Network) for Time Series Prediction", a few months back.
I'm constructing a feed-forward artificial neural network, ...
7
votes
1answer
937 views
Multilayer Perceptron (Neural Network) for Time Series Prediction
I have it in mind to build a Multilayer Perceptron for predicting financial time series. I understand the algorithm concepts (linear combiner, activation function, etc). But while trying to build the ...
4
votes
0answers
403 views
Algorithms for predicting a couple points in the future
I'm familiar with supervised learning algorithms like regression and neural networks which look at a bunch of input points and learn a function which outputs a value (the value varying depending on ...
5
votes
5answers
1k views
How many explanatory variables is too many?
When researching any sort of predictive model, whether using ordinary linear regression or more sophisticated methods such as neural networks or classification and regression trees, there seems to ...
16
votes
4answers
1k views
Any research on how natural language processing can be used to forecast stocks?
Is there any published research of decent quality linking news or unstructured information to asset returns? I know that Thomson Reuters offers its Machine Readable news (MRN), so somebody must use ...
10
votes
3answers
1k views
How to incorporate technical indicators into neural networks?
I plan to develop a neural network to trade commodities futures, but while messing around with some code, a question came up. If I understand correctly, people use various technical indicators with ...
6
votes
2answers
312 views
The T+H Problem in Factor model forecasts
Suppose we train on M individuals consisting of T observations (i.e. TxM design matrix). The dependent variable is one-year return for each security (H = horizon of one year). In a factor model ...
10
votes
4answers
2k views
Using linear regression on (lagged) returns of one stock to predict returns of another
Suppose I want to build a linear regression to see if returns of one stock can predict returns of another. For example, let's say I want to see if the VIX return on day X is predictive of the S&P ...
