Forecasting the movement of stock market is a long-time attractive topic. This paper implements different statistical learning models to predict the movement of S&P 500 index. The S&P 500 index is influenced b...Forecasting the movement of stock market is a long-time attractive topic. This paper implements different statistical learning models to predict the movement of S&P 500 index. The S&P 500 index is influenced by other important financial indexes across the world such as commodity price and financial technical indicators. This paper systematically investigated four supervised learning models, including Logistic Regression, Gaussian Discriminant Analysis (GDA), Naive Bayes and Support Vector Machine (SVM) in the forecast of S&P 500 index. After several experiments of optimization in features and models, especially the SVM kernel selection and feature selection for different models, this paper concludes that a SVM model with a Radial Basis Function (RBF) kernel can achieve an accuracy rate of 62.51% for the future market trend of the S&P 500 index.展开更多
This paper is motivated by Bitcoin’s rapid ascension into mainstream finance and recent evidence of a strong relationship between Bitcoin and US stock markets.It is also motivated by a lack of empirical studies on wh...This paper is motivated by Bitcoin’s rapid ascension into mainstream finance and recent evidence of a strong relationship between Bitcoin and US stock markets.It is also motivated by a lack of empirical studies on whether Bitcoin prices contain useful information for the volatility of US stock returns,particularly at the sectoral level of data.We specifically assess Bitcoin prices’ability to predict the volatility of US composite and sectoral stock indices using both in-sample and out-of-sample analyses over multiple forecast horizons,based on daily data from November 22,2017,to December,30,2021.The findings show that Bitcoin prices have significant predictive power for US stock volatility,with an inverse relationship between Bitcoin prices and stock sector volatility.Regardless of the stock sectors or number of forecast horizons,the model that includes Bitcoin prices consistently outperforms the benchmark historical average model.These findings are independent of the volatility measure used.Using Bitcoin prices as a predictor yields higher economic gains.These findings emphasize the importance and utility of tracking Bitcoin prices when forecasting the volatility of US stock sectors,which is important for practitioners and policymakers.展开更多
利用地面气象站和探空观测资料,对2013年8月16日辽宁地区特大暴雨过程数值模式预报的产品进行检验和对比分析,主要包括降水、500 h Pa位势高度场和副热带高压指数等。结果表明:一般性降水预报准确率T639模式整体优于EC模式,暴雨预报平...利用地面气象站和探空观测资料,对2013年8月16日辽宁地区特大暴雨过程数值模式预报的产品进行检验和对比分析,主要包括降水、500 h Pa位势高度场和副热带高压指数等。结果表明:一般性降水预报准确率T639模式整体优于EC模式,暴雨预报平均准确率EC模式略高于T639模式,T639模式和EC模式降水预报正负距平出现位置近似。多个数值模式对清原站主要降水时段(8月16日11—23时)的降水预报明显偏弱,WRF模式预报的全省3 h最大降水量远大于实况,T639模式和EC模式预报的降水量级均明显小于实况。EC模式和多模式集成72 h内降水落区与强降水中心位置的预报相对较稳定,过去15 d的滑动平均检验结果对降水预报具有一定的指示意义,72 h内EC模式的特征线预报一致性明显高于T639模式,对于辽宁省大部地区及上游高空槽附近EC模式降水预报的离散度小于T639模式。展开更多
This paper firstly analyzes the Brexit’s impact on the US stock market using a novel interval methodology. The interval-valued dummy variables are proposed to measure the direction and magnitudes of the changes in th...This paper firstly analyzes the Brexit’s impact on the US stock market using a novel interval methodology. The interval-valued dummy variables are proposed to measure the direction and magnitudes of the changes in the inter-day trend and the intra-day volatility of S&P500 returns simultaneously. It is found that both the trend and the volatility of S&P500 returns increased before the Brexit. Besides, the Brexit negatively affected S&P500 returns’ trend in the short term after the event,while its impact on market volatility was positive, which slowly decayed across time. Furthermore, a new interesting finding is that there are both short-term momentum effects(i.e., positive autocorrelation of trends) and volatility clustering in stock markets.展开更多
文摘Forecasting the movement of stock market is a long-time attractive topic. This paper implements different statistical learning models to predict the movement of S&P 500 index. The S&P 500 index is influenced by other important financial indexes across the world such as commodity price and financial technical indicators. This paper systematically investigated four supervised learning models, including Logistic Regression, Gaussian Discriminant Analysis (GDA), Naive Bayes and Support Vector Machine (SVM) in the forecast of S&P 500 index. After several experiments of optimization in features and models, especially the SVM kernel selection and feature selection for different models, this paper concludes that a SVM model with a Radial Basis Function (RBF) kernel can achieve an accuracy rate of 62.51% for the future market trend of the S&P 500 index.
文摘This paper is motivated by Bitcoin’s rapid ascension into mainstream finance and recent evidence of a strong relationship between Bitcoin and US stock markets.It is also motivated by a lack of empirical studies on whether Bitcoin prices contain useful information for the volatility of US stock returns,particularly at the sectoral level of data.We specifically assess Bitcoin prices’ability to predict the volatility of US composite and sectoral stock indices using both in-sample and out-of-sample analyses over multiple forecast horizons,based on daily data from November 22,2017,to December,30,2021.The findings show that Bitcoin prices have significant predictive power for US stock volatility,with an inverse relationship between Bitcoin prices and stock sector volatility.Regardless of the stock sectors or number of forecast horizons,the model that includes Bitcoin prices consistently outperforms the benchmark historical average model.These findings are independent of the volatility measure used.Using Bitcoin prices as a predictor yields higher economic gains.These findings emphasize the importance and utility of tracking Bitcoin prices when forecasting the volatility of US stock sectors,which is important for practitioners and policymakers.
基金partially supported by the National Natural Science Foundation of China under Grant Nos.71703156, 71701199, 71988101, 72073126Fujian Provincial Key Laboratory of Statistics (Xiamen University) under Grant No. 201601。
文摘This paper firstly analyzes the Brexit’s impact on the US stock market using a novel interval methodology. The interval-valued dummy variables are proposed to measure the direction and magnitudes of the changes in the inter-day trend and the intra-day volatility of S&P500 returns simultaneously. It is found that both the trend and the volatility of S&P500 returns increased before the Brexit. Besides, the Brexit negatively affected S&P500 returns’ trend in the short term after the event,while its impact on market volatility was positive, which slowly decayed across time. Furthermore, a new interesting finding is that there are both short-term momentum effects(i.e., positive autocorrelation of trends) and volatility clustering in stock markets.
