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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2020
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| Materias: | |
| 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 |