# Questions tagged [prediction]

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### Neural network time series prediction tool [closed]

What are some of the state of the art time series prediction tool with neural network?
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### Predict a company business classification

I am trying to predict whether companies belong to a universe considered by an index provider for a particular thematic index using natural language processing techniques. In this particular example, ...
39 views

### Closed cycle of pairs in pairs trading

Suppose I am trading cointegrated pairs $A_1A_2, A_2A_3, \ldots A_{k-1}A_k, A_kA_1$ and I got a signal to long $A_1$, short $A_2$; long $A_2$, short $A_3$; $\cdots$ long $A_k$, short $A_1$. How ...
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### Understanding how markets predict BoC's policy interest rate decisions

I read in the newspaper things like, Interest rate swaps, which are based on market expectations about future rate decisions, are pricing in at least one Bank of Canada rate cut later this year, and ...
321 views

### Continuous prediction vs Event-based predictions

When making a high-frequency or mid-frequency prediction on an assets return, what are the advantages and disadvantages of making a continuous prediction vs a prediction that only fires on a ...
275 views

### Constructing a mid using signals from another asset

When delta-neutral market making it is important to construct a mid price. Often the mid price of the asset you are trading is influenced by another (correlated) asset. What methodologies would you ...
190 views

I define a prediction of return of an asset as the following: at time $t=0$, I use my data and output that I expect the asset to make the following returns (in expected value) in the next n intervals $... 0 votes 1 answer 60 views ### Averaging Results Across Regressions due to Periodicity/Overlaps Given data that arrives at a daily frequency, I aggregated it to a weekly frequency, and estimated an OLS regression on it. Given that there are roughly 5 trading days per week, I can construct 5 ... 1 vote 0 answers 81 views ### How to predict a portfolio's reversion? Sorry if this has been asked before. I've been baffled by a question I'm facing. Assuming I know there are some certain demands for some stocks in near future, and I put them in a basket as a ... 1 vote 1 answer 120 views ### Using regression for binomial prediction of tomorrow's return I completed a challenge which asks the user to predict tomorrow's market return. The data available is prices data and the model must be logistic regression. They call it "machine learning" ... 1 vote 1 answer 108 views ### Differences vs ratios High, I am working on an exercise which involves performing a regression analysis to predict market direction (e.g. up or down). I am using daily OHLCV data. I've created various factors from the ... 7 votes 1 answer 523 views ### Time series strategy versus cross section strategy? Suppose we have a universe of$n$stocks, and for each time period$t$we have$n$predictions for their future returns. Now we can calculate the information coefficient for our predictions in two ... 0 votes 1 answer 323 views ### evaluate the predictive power of a signal to predict stock price - interview question I am a young Statistics graduate. A few days ago as an interview question, I have been asked to evaluate the predictive power of a Signal time series (supposedly output by an Artificial Intelligence ... 0 votes 2 answers 181 views ### Is there any utility to being able to predict an assets current price? I was playing around with some models, and I'm able to predict a stock's current price based on the current prices of other stocks. This model is extremely accurate, although I can't see any use of ... 0 votes 0 answers 34 views ### How to predict what stage of business cycle we are currently in based off of unemployment indicators I am trying to predict what part of the business cycle (Early, Mid, Late 1, Late 2) we are currently in by looking at unemployment indicators. Qualitatively, I've reasoned that: . Early Mid Late 1 ... 3 votes 1 answer 417 views ### Paper on returns from perfect market timing? I'm looking for a (free) paper I read which showed that even a "perfect" market timing strategy wasn't very good compared to buy-and-hold. There were some restrictions to the timing, ... 0 votes 1 answer 95 views ### In stock prediction with LSTM, is there a need to get a dataset for a specific time period in order to predict future close price? I am currently trying to predict the close price of the TSLA stock for March 2022 using LSTM model. Initially, I was using TSLA stock data starting from 2012 to of course March 2022. However, I was ... 1 vote 0 answers 85 views ### Adapted Roll measure implementation I'm currently trying to implement the roll measure adapted by Easley et al. (2020, p. 22). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3345183 The adapted roll measure is given by the eq below.... 0 votes 1 answer 168 views ### What kinds of data should be curated for day trading? From previous research about data curation with research papers, it seems to me that most algorithmic trading systems (at least in regards to day trading) solely use historical price data- but I'd be ... 0 votes 0 answers 68 views ### Disecting a log diff transformation for time series analysis and prediction I have been working in a predictive ML model that uses financial time-series as predictor variables. In one of the academic papers I used as reference, and to do feature engineering for building the ... 0 votes 0 answers 340 views ### Hidden Markov Model Stock Prediction Next Level I was able to fit HMM Model in Python on stocks data. I have completed the training and testing part. The overall fit looks good. However, I have a question, I am not able to predict the next "t+... 1 vote 0 answers 45 views ### Presence of underestimation bias in consensus earnings predictions I am working on a financial data that entails forecasted revenue a company generates over a fiscal quarter and the actual revenue for that quarter. ... 0 votes 1 answer 134 views ### Book/Material recommendation - Stock Price Forecasting using AI tools I am looking for a book, which covers the following topics: stock price prediction using Artificial Neural Network, stock price prediction using LSTM, stock price prediction using linear/non-linear ... 1 vote 0 answers 134 views ### stock price trend classification using Random Forest in sklearn I have created a random forest classification model in skicit-learn, but I am unsure how to finalise my forecast. I have built the model and it is showing good results on the testing data. I get a ... 2 votes 1 answer 99 views ### Prediciting outperformance - choice of statistical design? I want to predict relative outperformance between a stock and an associated benchmark index using statistical time-series models (e.g. ARIMA) and some exogenous variables (day of the week, corporate ... 1 vote 0 answers 192 views ### Current research in price prediction I am returning to studying the markets after ten years spent in banking. I would like to ask for directions, what approaches to price prediction are currently used - I want to catch up quickly. Papers ... 1 vote 1 answer 69 views ### Find best linear predictor of$X_2$given$1, X_1$I'm having a problem calculating the best linear predictor of a time series. I'm using the book Brockwell-Davis 2016 - Introduction to Time Series and Forecasts. First let me write down one notational ... 1 vote 0 answers 98 views ### Predicting smoothed returns Due to the extremly low ratio of signal to noise in financial data, predicting raw returns is very difficult. If we smooth out the price time series, say by an EWMA, and then calculate returns on this ... 0 votes 1 answer 106 views ### Non-fixed stationary "conversion" Dear users of StackExchange, I was wondering why the log returns of a fixed period of time is such a common use in "transforming" a time series into a more stationary one? I thought that ... 3 votes 1 answer 196 views ### Using candlesticks for Stock price direction prediction I am working on a college project wherein I want my machine learning model to predict the one-day-ahead direction of a given stock (i.e. whether the closing price of the stock would rise or fall as ... 0 votes 0 answers 62 views ### How to use machine learning to generate optimal allocations for an instrument? What is the idea behind using Machine Learning in finance? Let's assume that we have just one instrument given by its prices. At a given moment of time, we can "compress" the available ... 1 vote 0 answers 66 views ### Why are prediction markets based on logarithms when a linear solution can suffice? For example, take a binary outcome; A coin toss, heads or tails. If heads, then those that picked heads receive \$1 and tails receive \$0. To quote the prices for each bet Hanson's LMSR uses ... 1 vote 0 answers 70 views ### Please help me understand this dataset regarding stock prices I am supposed to predict column E but I cannot figure out what any of these columns mean. The information provided with the dataset is as follows: column A: past 28 week slope value column B: past 48 ... 0 votes 1 answer 498 views ### Feature engineering for mid-price prediction - quickly changing features I'm training a fully-connected feed-forward neural network on HFT (limit order book) data to predict the midprice at timepoint$t+\Delta t$(assuming that$t$is the current moment, and$\Delta t$is ... 0 votes 3 answers 748 views ### Consistent offset/lag in time-series prediction using Neural Network (all code provided) I'm using a neural network (keras package) to predict Bitcoin prices 48 hours in advance. The issue is that for some reason, my predictions are "correct" but they are lagging behind the true ... 0 votes 1 answer 256 views ### Reintegrating Fractionally Differentiated Time Series Prediction I am working on a supervised learning approach to Time Series Regression, and am currently investigating fractionall differentiation (optimizing the stationarity/information tradeoff) discussed ... 2 votes 0 answers 91 views ### Garch models - are they useful for hedging? If so how? I understand that Garch models are useful to predict volatility. But are they useful for hedging in practice? If I want to hedge volatility, why shouldn't I just use a Variance Swap? In other words, ... 0 votes 1 answer 325 views ### Predict Log Stock Return Direction and Trading Strategy The$k$period log return is defined as $$r_{t}(k)=log(S_{t}/S_{t-k}),$$ Where$S_{t}$is the stock closing price at time$t$. For argument sake, assume that by time I mean a stock trading day and ... 0 votes 1 answer 125 views ### Is option surface same as future price probability surface? Let's consider the Option Chain for the Stock. There are two 3D surfaces representing the probability of the future stock price and the option prices. I wonder if they are representing the same thing? ... 0 votes 0 answers 37 views ### Tradeoffs of using Loess regression to fit random walks I am curious if anyone has had much experience attempting to predict random walks using Loess regression or a variant of local statistical methods. 0 votes 3 answers 164 views ### Does asset volume, rather than asset returns, predict performance? Asset returns are the most common data type used in finance. They are derived from closing price data. Ordinary level 1 data for stocks not only consists of closing prices, but also gross volume ... 1 vote 1 answer 49 views ### Mutual fund rating predictions I am working on a dataset with aim to predict the MF ratings. There are cols like, 10 yr, 7 yr, 5 yr etc returns. I also have commencement date of MFs, the question is there are MFs with commencements ... 1 vote 1 answer 100 views ### How to use multi-periods and mult-factors to predict stock price by linear regression? Give data in$t_n$denoted by$[x_1^n, x_2^n, ... x_d^n]$and label$y_n$to be predicted. We can just train a$d$-dimensional linear regression$y_n=\sum b_ix_i^n$to make a prediction. However, I ... 0 votes 1 answer 128 views ### If a security has many options expiring on a day, can you predict its price direction? r/wallstreetbets post alleges that because ~$1.9 Trillion USD of SPY call options expire on 3/20, the price of SPY will skyrocket on 3/20. Is this correct? What can be deduced? I'm not expecting to ... 1 vote