Frequency effects on predictability of stock returns

We propose that predictability is linked with profitability in a complex manner. We look at ways to measure predictability of price changes using information theoretic approach and employ them on historical data for NYSE 100 stocks. This allows us to determine whether frequency of sampling price changes affects the predictability of those. We also study relations between price changes predictability and the deviation of the price formation processes from iid as well as the stock's sector. We also briefly comment on the complicated relationship between predictability of price changes and the profitability of algorithmic trading.

• Publication year

  2013

• Venue

  IEEE Conference on Computational Intelligence for Financial Engineering & Economics

• Publication date

  2013-10-21

• Fields of study

  Mathematics, Business, Economics, Computer Science

• Identifiers
  DOI 10.1109/CIFEr.2014.6924080arXiv 1310.5540
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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