0
votes
1answer
376 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
2answers
540 views

Evaluating forecasting algorithm

I am trying to evaluate a forecasting algorithm for stock price prediction. However, the performance of the algorithm may be very much tied to the trading strategy. Is there a systematic way for ...
6
votes
4answers
1k views

Can the futures market's open interest predict commodity, treasury, and equity returns?

I came across this article and became curious. Can the futures market's open interest really predict market action?