# Questions tagged [prediction]

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67 views

### Proper Data Partitioning For Building a Forecasting Model

Goal: A team and I are looking to build a model that performs a predictive action for the state of the market on day T + n, using the data at hand on day ...
164k 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 ...
73 views

### How to use Machine Learning to predict portfolio performance?

It's possible to use some algorithm to predict the future price of a stock in a form of probability distribution. But, usually the end goal is the performance of a portfolio, not a single stock. The ...
63 views

### How to weigh computational cost of updating an online predictive model for latency-constrained trading (e.g., market making, HFT)?

Say one has a predictive online model for market making or HFT (or just for anything strictly latency-constrained). In my specific example, I start with a Gaussian distribution over the "true value" ...
91 views

### time series data modeling for deep learning

what is the best format to feed the input data, which are time series with varying density over time, to a deep learning network, while at any iteration we want to feed a batch of data including a ...
2k 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?
27 views

### Which technique determines if var x1 leads var y? Assuming var x1 may need to be transformed

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 ...
74 views

### Beginner FFT (Fourier) transforms on closing prices for Apple

I don't know math very well, but I have been programming for many years. I would like to use FFT as a parameter to a ML model. The FFT is diving down sharply. I tried many stocks and its the same. ...
28 views

### Labeling Returns in 5 categories based on BL view approach

I have to label a time series of returns into 5 categories based on the Black Litterman view approach. The categories should look as follows: very bullish: + 2 std. dev. bullish: + 1 std. dev. ...
41 views

### Mean directional accuracy and zero

I'm trying to use mean directional accuracy to evaluate my directional predictions in back-test, but it can't deal with realised directions which are 0, due to the comparison of the signs of ...
189 views

### Predicting portfolio returns

I suppose there are roughly two approaches to predict portfolio returns. Either predict the returns of all underlying stocks and aggregate all individual stock predictions, or predict the portfolio ...
55 views

### Predicting stock returns using principal components of macroeconomic variables

I'm trying to detect return predictability by regressing stock returns on the first couple of principal components of a set of macroeconomic variables. I'm doing this for different stock styles such ...
553 views

### What machine learning method is more suitable for prediction of financial time series?

I have time series data for various assets and which I transform to create various features. I have framed the problem as a classification task where I attempt to predict either a positive or negative ...
1k views

### How quants use ML models for stock market prediction

I am learning machine learning to use it for stock market price forecasting. While doing that I got this question. If we take any country with stock exchange they have more than one investment assests ...
100 views

### Any research on label/target variable design for ML training?

is there any discussion or paper about how to define/design the labels for the ML training? Intuitively I can think of: Net return of the next future day Net return using the max candle-high value of ...
71 views

### Can I make the simple moving average less lagging by this method?

I have (T+3) predicted prices for a stock. Let us assume that the predicted prices are going to be very close to the actual prices. can I alter the formula of simple moving average for 20 days like ...
66 views

### Why can the t-bill rate forecast stock returns?

The tbill rate is used as a predictor of the equity premium in a number of papers. Whilst there is not a general consensus about whether it is a significant predictor, it is still widely used. I ...
280 views

### Good criteria to sort state-space $\beta_{t}$ according to Kalman filter output

Let's assume the usual state-space linear model without constant term for simplicity: $y_{t}=\beta_{t} X_{t}+\epsilon_{t}$ If we apply Gaussian Kalman filter to estimate $\beta_{t}$ we get $P_{t}$, ...
2k views

### Tools/R code for predicting Dragon-Kings

The theory of the so called Dragon-Kings, esp. by Didier Sornette (ETH Zürich), basically states that financial crises and crashes are predictable (contrary to the theory of black swans). The ...
2k views

### ARMA+GARCH prediction with package rugarch (R)

I am analyzing FTSE 100 series, from 2007-01-01 to 2010-12-31 (university exam homework). I have to use the data 'til 2010-11-30 as sample, and the remaining (23) observations as in-sample forecast (...
308 views

### Does predictability in a VAR process imply mean reversion or momentum?

There seems to be some disagreement in the literature about this. Define predicability of a stationary series to be $\sigma^2_{t-1} / \sigma^2_t$ Finding mean reverting portfolios using canonical ...
170 views

### Should there be a relation between stocks when used as input data for integrating Technical Analysis with Machine Learning?

I'm integrating Technical Analysis with Deep Learning for the first phase of my research. I wanted to know how should I pick (or group) stocks as input data and whether there should be relation ...
190 views

### Implementing Hanson`s LMSR with Limit Orderbooks

I am trying to integrate Hanson's LMSR (see (see logarithmic market scoring rule)into an order-book with traditional bid/ask-limit orders (in KDB+/Q). The following functions define the basic LMSR ...
52 views

### Trading Signals with Different Lags

I have a momentum signal that gives best predictive power at 3 months and a valuation signal that gives best predictive power at one year. If I combine for a 3 month horizon by "interpolating" the ...
207 views

### Are returns predictable, Campbell and Shiller (1988)

Following from the thread, Drivers of equity returns: dividend yield, change in P/E and dividend (or earnings) growth 1) Why are returns predictable from this, is there a reason? 2) Can we expect ...
229 views

### Working with time series with different resolutions

I’m looking at making predictions of close prices (stocks/commodities), and have access to various data sources to help predict. However, most of these sources are in a different time frame, ...
444 views

### Quant teams predicting the World Cup

It is a good tradition of the quant teams of the major banks to predict the World Cup. As an example see this new paper from Goldman Sachs: The World Cup and Economics 2014 (Brazil will win by the ...
181 views

### how are financial data with sparse and asynchronous features imputed in predictive modeling?

I watched a presentation from a large quantitative finance firm that spends a lot of effort around predictive modeling. One of the points the presenter emphasized was that they deal with a lot of ...
153 views

### Fractal market hypothesis testing

I would like to do an analysis on the AEX stock exchange index for the last 20 years, but I ran into some issues. It would be really appreciated if you can answer my questions: In order to apply ...
8k 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 it....
385 views

### What is the stambaugh bias? Why is it important for predictability regressions?

What is the Stambaugh bias? Why is it important for predictability regressions? Can anyone explain it in simple terms?
999 views

### What is time-varying risk premium? Forecasting stock returns

I am trying to understand the concept 'Time-varying aggregate risk premium'. Here is an extract from a Forecasting book, written by Rapach and Zhou, "However, rational asset pricing theory posits ...
300 views

### Interpret predictions weekly and monthly stock price returns [closed]

I have built a model in R that predicts weekly and monthly returns of stock prices using regression trees, roughly based on https://www.r-bloggers.com/using-cart-for-stock-market-forecasting/. In my ...
148 views

### Momentum Analysis on Indices

I'm interested in analysis of day-on-day momentum of certain large indices. In particular, I'm interested in the predictive power of the sign of the price change of the first hour of trading with ...
1k views

### Predict Futures Prices based on weather + agricultural data

I’m working in the area of Data Mining and have come up with the following idea for my Masters project.The text may not be the best structured but it’s a working draft to give you a quick idea. ...
2k views

### Determine trends of data (direction detection or turning point detection)

I'm working on a model to determine trends (direction detection or turning point detection). Suppose that we have a stock trend which is illustrated below. Blue line is real trend of stock close ...
335 views

### Predict the behavior of a time series (P&L trading desk)

I work at the trading desk P&L department at a large bank. The trading desk has positions in almost all sorts of derivatives (options, futures) over a long list of stocks, currencies, commodities.....
332 views

### Predict probability of returns: How does changing volatility affect the return pdf?

I am trying to predict the future probability of stock returns based on the return distribution. Therefore I calculate the returns as $\frac{P(t)}{P(t-1)}$ for the whole daily data and fit a ...
348 views

### R squared statistic in predictions of returns

My question is related to an article which use predictive linear regression for the stock returns. There is told that R squared statistic of 1.6% is high. How can we measure which R squared is high? I ...
195 views

### What is the better representative of a P-B ratio for a sector?

What is a better representative of a P-B ratio for a sector, for using it as a factor to predict future returns on that sector? The market weighted average of P-B for all names in that index, or ...
271 views

### Good books on predictive modeling (for alpha signal research)

In terms of books on predictive models, I find ESL (elements of statistical learning) trying to cover too much and serves more like a reference, instead of explaining and developing the theories for ...
17k views

### GARCH model and prediction

I have a question about the prediction of volatility and returns of a time series. Basically it is a question about predict in the ...
406 views

### Trouble understanding lookahead bias

I understand lookahead bias is pretty common industry knowledge. But I cannot wrap my head around how I am introducing it and could use a nice and easy explanation. Here's my thought process. I have \$...
410 views

### What is currently predictable in the stock and bond markets and what is not

Disclaimer: I have some knowledge of statistics, machine learning and probability theory, but next to zero knowledge of finance (I had to look up Wikipedia to refresh my knowledge of the difference ...
94 views

### What kind of indicators would you look in the market preceding a recession/crisis?

What kind of indicators may have predicted the upcoming financial crisis in the 2000 or 2008?
102 views

### Window length for predictive regressions

I am building a trading strategy that predicts the current period returns using historical returns (think e.g. using an estimated OLS model to predict next weeks return based on this weeks return). ...
106 views

### How to assign n day target variables in machine learning

I am trying to forecast future price using supervised machine learning. My logic is to take open and close price from t, t-1, t-2 and t-3 period to predict future close price in the period t+1,t+3 ...
320 views

### Design models using adjusted or unadjusted stock prices (time series prediction)?

I'm creating a predictive model for closing price of stocks (using neural network and support vector machines.). Is it appropriate to use adjusted prices or unadjusted prices for this prediction ...