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I was trying to understand the response variables used in the quantitative trading/investing model development. This question may not look good but I searched on google and could not find results. Generally, we can use "Price", "Return", "volatility" as response variables but was wondering apart from these are there more possible features or variables we can use as a response variable. Any help, answer or suggestion for reading will be appreciated. Thank you.

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  • $\begingroup$ Are you sure about price as a response variable? Seems like a formula for a spurious regression. $\endgroup$
    – kurtosis
    Jul 31 '20 at 7:40
  • $\begingroup$ Anything you can think of with some sort of economic rationale or hypothesis behind it. $\endgroup$
    – confused
    Jul 31 '20 at 19:42

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