• Graduate program
    • Courses
    • Why Tinbergen Institute?
    • Program Structure
    • Course Registration
    • Recent PhD Placements
    • Admissions
    • Facilities
  • Research
  • News
  • Events
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
    • Crash Course in Experimental Economics
    • Behavioral Macro and Complexity
    • Introduction in Genome-Wide Data Analysis
    • Econometric Methods for Forecasting and Data Science
  • Times
Home | Events Archive | Intraday Price Patterns
Master's Thesis defense

Intraday Price Patterns


  • Series
    Array
  • Speaker
    Abhinav Bhuyan
  • Location
    Online
  • 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.