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 [Formula: see text] , which is de...

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Detalles Bibliográficos
Autores principales: Li, Shuqi, Lin, Aijing
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7762100/
https://www.ncbi.nlm.nih.gov/pubmed/33279926
http://dx.doi.org/10.3390/e22121381

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7762100/
https://www.ncbi.nlm.nih.gov/pubmed/33279926
http://dx.doi.org/10.3390/e22121381

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