Cross-correlation and the predictability of financial return series

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 2, 2010, Pages 290-296

  Duan, Wen Qi ^a   Stanley, H Eugene ^b  

^a ZHEJIANG NORMAL UNIVERSITY   (China)

^b Boston University   (United States)

Author keywords

Cross correlation; Predictability; Support vector machines

Indexed keywords

MEAN SQUARE ERROR; SUPPORT VECTOR MACHINES;

CAUSAL RELATIONSHIPS; CROSS CORRELATIONS; FINANCIAL RETURNS; FORECASTING MODELS; MEAN ABSOLUTE ERROR; PREDICTABILITY; RANDOM WALK MODELING; ROOT MEAN SQUARED ERRORS;

FINANCE;

EID: 78649330188     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.09.013     Document Type: Article

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