Forecasting high-frequency stock returns: a comparison of alternative methods.
Erdinc AkyildirimAurelio Fernández BarivieraDuc Khuong NguyenAhmet SensoyPublished in: Ann. Oper. Res. (2022)
Keyphrases
- high frequency
- alternative methods
- low frequency
- stock returns
- financial time series
- wavelet transform
- high resolution
- wavelet support vector machine
- stock market
- subband
- high frequencies
- wavelet decomposition
- wavelet coefficients
- short term
- discrete wavelet transform
- stock price
- cross sectional
- wavelet domain
- developed countries
- financial data
- high frequency components
- machine learning
- panel data
- multiresolution