Intraday Price Patterns
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SeriesResearch Master Defense
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SpeakerAbhinav Bhuyan
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LocationOnline
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Date and time
August 31, 2020
09:00 - 10:00
We forecast intraday returns for futures of equity indices, government bonds and commodities in the opening and closing hours of the market, using three different techniques: linear regression (OLS), principal components analysis, and an artificial neural network. We further formulate a simple trading strategy based on this forecast, and analyze out-of-sample performance and economic gains. We generally find low predictability but some potential economic significance for equities and commodities.