ABSTRACT
We introduce the fading memory recursive least squares (FM-RLS) and rolling window ordinary least squares (RW-OLS) methods to predict CSI 300 intraday index return in Chinese stock market. Empirical results show that the performances are better than that of same sign method. The additional profit is mainly from two conflict signals, with one amplitude far greater than the other.
Disclosure statement
No potential conflict of interest was reported by the authors.