Predictability and model selection in the context of ARCH models

Most of the methods used in the ARCH literature for selecting the appropriate model are based on evaluating the ability of the models to describe the data. An alternative model selection approach is examined based on the evaluation of the predictability of the models in terms of standardized prediction errors. Copyright © 2005 John Wiley & Sons, Ltd.     

Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling

We will focus on estimating the integrated covariance of two diffusion processes observed in a nonsynchronous manner. The observation data is contaminated by some noise, which possibly depends on the time and the latent diffusion processes, while the sampling times also possibly depend on the observed processes. In a high-frequency setting, we consider a modified version of the pre-averaged Hayashi–Yoshida estimator, and we show that such a kind of estimator has the consistency and the asymptotic mixed normality, and attains the optimal rate of convergence.     

An Exploratory Study on the Complexity and Machine Learning Predictability of Stock Market Data

This paper shows if and how the predictability and complexity of stock market data changed over the last half-century and what influence the M1 money supply has. We use three different machine learning algorithms, i.e., a stochastic gradient descent linear regression, a lasso regression, and an XGBoost tree regression, to test the predictability of two stock market indices, the Dow Jones Industrial Average and the NASDAQ (National Association of Securities Dealers Automated Quotations) Composite. In addition, all data under study are discussed in the context of a variety of measures of signal complexity. The results of this complexity analysis are then linked with the machine learning results to discover trends and correlations between predictability and complexity. Our results show a decrease in predictability and an increase in complexity for more recent years. We find a correlation between approximate entropy, sample entropy, and the predictability of the employed machine learning algorithms on the data under study. This link between the predictability of machine learning algorithms and the mentioned entropy measures has not been shown before. It should be considered when analyzing and predicting complex time series data, e.g., stock market data, to e.g., identify regions of increased predictability.     

The analysis of correlation integrals in terms of extremal value theory

In this paper we first give an overview of the methods of analysis of time series in terms of correlation integrals, which were developed for time series generated by deterministic systems. From the extremal value theory one obtains asymptotic information on the behaviour of the correlation integrals of time series generated by non-deterministic (mixing) systems. This leads to an analysis in terms of correlation integrals which is complementary to the estimation of dimension and entropy.Dedicated to the memory of Ricardo Mañé     

Modeling stock index returns by means of partial least‐squares methods: An out‐of‐sample analysis for three stock markets

We analyze the underlying economic forces of the stock markets in Germany, the U.K. and the U.S. Identifying a number of variables evincing return predictability, we follow a partial least‐squares (PLS) approach to combine these observables into a few latent factors. Conditional on European markets, our findings indicate (i) superior prediction performance of PLS‐based schemes in comparison with both, a random walk and a first‐order autoregressive benchmark model, (ii) consistent profitable trading on the German and British market, (iii) profitable linear forecast combinations, (iv) the U.S. stock market is diagnosed as informationally efficient. Copyright © 2010 John Wiley & Sons, Ltd.     

高炉铁水含硅量序列的动力学结构分析

以邯郸钢铁公司7号高炉在线采集的2000炉铁水含硅量［Si］数据为样本,对［Si］时间序列作了基于逆序数的平稳性检验.然后,在关联积分的基础上,定义了衡量不同时间序列间动力学相似性的“距离”,通过等分采集得到的［Si］序列,计算子序列间的“距离”,发现了高炉冶炼过程中存在显著的动力学结构突变性,最后应用DVV算法分析动力学性质变动下,高炉铁水含硅量［Si］的可预测性. 关键词： 高炉冶炼 平稳性 动力学相似性 可预测性     

动态非短视资产负债管理

用均值-回复过程刻画股票价格变化,本文研究了股票收益可预测金融市场中的连续时间资产负债管理问题。运用动态规划方法,求得了最优资产负债管理策略的闭合解。结果表明,最优策略是风险溢价的线性函数,随着投资期限的缩短,股票上的投资金额不断降低。数值分析表明,投资期限、股票风险溢价和债务对于最优资产配置策略和股票风险溢价不确定性跨期对冲需求都存在显著影响。     

混沌系统平均初始误差增长饱和特性研究

在非线性误差增长理论框架下研究了混沌系统平均初始误差增长饱和特性 以及误差饱和值同系统可预报期限的关系.首先探索了Lorenz96系统中平均相对初始误差增长饱和规律, 发现平均相对初始误差增长饱和值同初始误差的自然对数存在简单的线性关系: 其二者自然对数之和为一常量,且该常量同初始误差无关.实验表明该结论对其他混沌系统也适用. 因此对给定混沌系统,在计算出和常数后可以外推得到任意固定初始误差的平均相对误差增长饱和值. 为进一步研究误差饱和值同可预报期限的关系,给出了平均绝对误差增长的定义. 理论分析表明混沌系统平均绝对误差增长也会达到饱和.其饱和值为常量, 与初始误差无关,混沌系统控制参数确定,饱和值就固定.依据上述研究, 最后给出一个定量计算可预报期限的模型T_p=1/∧ln(E_s/δ₀)+c, E_s为绝对误差增长饱和值.实验研究表明对于复杂的高阶混沌系统,该预报期限模型都能较好地适用.     

Exploring the Relationship among Predictability,Prediction Accuracy and Data Frequency of Financial Time Series

In this paper, we aim to reveal the connection between the predictability and prediction accuracy of stock closing price changes with different data frequencies. To find out whether data frequency will affect its predictability, a new information-theoretic estimator Plz, which is derived from the Lempel–Ziv entropy, is proposed here to quantify the predictability of five-minute and daily price changes of the SSE 50 index from the Chinese stock market. Furthermore, the prediction method EEMD-FFH we proposed previously was applied to evaluate whether financial data with higher sampling frequency leads to higher prediction accuracy. It turns out that intraday five-minute data are more predictable and also have higher prediction accuracy than daily data, suggesting that the data frequency of stock returns affects its predictability and prediction accuracy, and that higher frequency data have higher predictability and higher prediction accuracy. We also perform linear regression for the two frequency data sets; the results show that predictability and prediction accuracy are positive related.     

Maximization of the Ratio of Two Convex Quadratic Functions over a Polytope

In this paper, we will develop an algorithm for solving a quadratic fractional programming problem which was recently introduced by Lo and MacKinlay to construct a maximal predictability portfolio, a new approach in portfolio analysis. The objective function of this problem is defined by the ratio of two convex quadratic functions, which is a typical global optimization problem with multiple local optima. We will show that a well-designed branch-and-bound algorithm using (i) Dinkelbach's parametric strategy, (ii) linear overestimating function and (iii) -subdivision strategy can solve problems of practical size in an efficient way. This algorithm is particularly efficient for Lo-MacKinlay's problem where the associated nonconvex quadratic programming problem has low rank nonconcave property.