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Suppose I want to predict future changes in variable y (stock price over time). I notice that variable x1, inverted and delayed three months, tends to lead y. Which technique can I use to find other predictive relationships like this? Suppose I have variables x2 through x100 that I want to analyze to see if they also lead y in some way.

What are the non-machine learning (ie traditional statistical) options? Do the machine learning ones work better?

Context: want to predict future changes in S&P 500 price based on other assets like gold, oil, currencies, etc.

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  • $\begingroup$ Have you looked into regression models? $\endgroup$ – Will Aug 22 at 20:50
  • $\begingroup$ Somewhat, but I'm unsure how to pick the best type. What if, given another transformation of my predictor variable X1, a completely different type of regression would work best? $\endgroup$ – MitchellRosenthal256 Aug 22 at 20:57

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