Articles producció científica> Gestió d'Empreses

Forecasting high-frequency stock returns: a comparison of alternative methods

  • Identification data

    Identifier: imarina:9242970
    Authors:
    Akyildirim, ErdincBariviera, Aurelio F.Duc Khuong NguyenSensoy, Ahmet
    Abstract:
    We compare the performance of various advanced forecasting techniques, namely artificial neural networks, k-nearest neighbors, logistic regression, Naive Bayes, random forest classifier, support vector machine, and extreme gradient boosting classifier to predict stock price movements based on past prices. We apply these methods with the high frequency data of 27 blue-chip stocks traded in the Istanbul Stock Exchange. Our findings reveal that among the selected methodologies, random forest and support vector machine are able to capture both future price directions and percentage changes at a satisfactory level. Moreover, consistent ranking of the methodologies across different time frequencies and train/test set partitions prove the robustness of our empirical findings.
  • Others:

    Author, as appears in the article.: Akyildirim, Erdinc; Bariviera, Aurelio F.; Duc Khuong Nguyen; Sensoy, Ahmet;
    Department: Gestió d'Empreses
    URV's Author/s: Fernández Bariviera, Aurelio
    Keywords: Stock market Prediction Machine learning Index Forecasting Artificial neural-networks Algorithmic trading
    Abstract: We compare the performance of various advanced forecasting techniques, namely artificial neural networks, k-nearest neighbors, logistic regression, Naive Bayes, random forest classifier, support vector machine, and extreme gradient boosting classifier to predict stock price movements based on past prices. We apply these methods with the high frequency data of 27 blue-chip stocks traded in the Istanbul Stock Exchange. Our findings reveal that among the selected methodologies, random forest and support vector machine are able to capture both future price directions and percentage changes at a satisfactory level. Moreover, consistent ranking of the methodologies across different time frequencies and train/test set partitions prove the robustness of our empirical findings.
    Thematic Areas: Saúde coletiva Operations research & management science Medicina i Matemática / probabilidade e estatística Management science and operations research Interdisciplinar General decision sciences Ensino Engenharias iv Engenharias iii Engenharias i Economia Decision sciences (miscellaneous) Decision sciences (all) Ciencias sociales Ciências agrárias i Ciência da computação Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
    licence for use: https://creativecommons.org/licenses/by/3.0/es/
    Author's mail: aurelio.fernandez@urv.cat
    Author identifier: 0000-0003-1014-1010
    Record's date: 2024-09-07
    Papper version: info:eu-repo/semantics/acceptedVersion
    Link to the original source: https://link.springer.com/article/10.1007/s10479-021-04464-8
    Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
    Papper original source: Annals Of Operations Research. 313 (2): 639-690
    APA: Akyildirim, Erdinc; Bariviera, Aurelio F.; Duc Khuong Nguyen; Sensoy, Ahmet; (2022). Forecasting high-frequency stock returns: a comparison of alternative methods. Annals Of Operations Research, 313(2), 639-690. DOI: 10.1007/s10479-021-04464-8
    Article's DOI: 10.1007/s10479-021-04464-8
    Entity: Universitat Rovira i Virgili
    Journal publication year: 2022
    Publication Type: Journal Publications
  • Keywords:

    Decision Sciences (Miscellaneous),Management Science and Operations Research,Operations Research & Management Science
    Stock market
    Prediction
    Machine learning
    Index
    Forecasting
    Artificial neural-networks
    Algorithmic trading
    Saúde coletiva
    Operations research & management science
    Medicina i
    Matemática / probabilidade e estatística
    Management science and operations research
    Interdisciplinar
    General decision sciences
    Ensino
    Engenharias iv
    Engenharias iii
    Engenharias i
    Economia
    Decision sciences (miscellaneous)
    Decision sciences (all)
    Ciencias sociales
    Ciências agrárias i
    Ciência da computação
    Administração, ciências contábeis e turismo
    Administração pública e de empresas, ciências contábeis e turismo
  • Documents:

  • Cerca a google

    Search to google scholar