Testing for Predictability in Financial Returns Using Statistical Learning Procedures

DOI10.1111/jtsa.12120zbMath1329.62410OpenAlexW1945609842MaRDI QIDQ3192399

Imanol Arrieta-Ibarra, Ignacio N. Lobato

Publication date: 12 October 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12120

zbMATH Keywords

neural networkdata miningmachine learningsupport vector machinemartingale difference hypothesisforecasting, random forest

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Learning and adaptive systems in artificial intelligence (68T05)

Uses Software

• PRMLT

Cites Work

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• Principles and theory for data mining and machine learning
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Testing That a Dependent Process Is Uncorrelated
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

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