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Applied Economics Letters Volume 28, 2021 - Issue 12
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Research Article

Algorithms comparison on intraday index return prediction：evidence from China

Xiang LiSchool of Economics and Finance, Xi’an Jiaotong University, Xi’an, Shaanxi, ChinaView further author information
,
Xianghui YuanSchool of Economics and Finance, Xi’an Jiaotong University, Xi’an, Shaanxi, ChinaCorrespondence[email protected]
View further author information
,
Jin YuanSchool of Economics and Finance, Xi’an Jiaotong University, Xi’an, Shaanxi, ChinaORCID Iconhttps://orcid.org/0000-0001-6509-988XView further author information
ORCID Icon &
Hailun XuSchool of Economics and Finance, Xi’an Jiaotong University, Xi’an, Shaanxi, ChinaView further author information
Pages 995-999 | Published online: 13 Jul 2020

References

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  • Paleologu, C., J. Benesty, and S. Ciochina. 2008. “A Robust Variable Forgetting Factor Recursive Least-squares Algorithm for System Identification.” Signal Processing Letters 15: 597–600. doi:10.1109/LSP.2008.2001559.
  • Plakandaras, V., P. Gogas, T. Papadimitriou, and R. Gupta. 2017. “The Informational Content of the Term Spread in Forecasting the US Inflation Rate: A Nonlinear Approach.” Journal of Forecasting 36 (2): 109–121. doi:10.1002/for.2417.
  • Welch, I., and A. Goyal. 2008. “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction.” Review of Financial Studies 21 (4): 1455–1508. doi:10.1093/rfs/hhm014.
  • Zhang, Y. J., F. Ma, and B. Zhu. 2019. “Intraday Momentum and Stock Return Predictability: Evidence from China.” Economic Modelling 76: 319–329. doi:10.1016/j.econmod.2018.08.009.

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