Decision trees unearth return sign predictability in the S&P 500

DOI10.1080/14697688.2018.1441535zbMath1406.91498OpenAlexW2802207771MaRDI QIDQ4619522

Lucas Fiévet, Didier Sornette

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1441535

zbMATH Keywords

Markov chainautoregressive modeldecision treeefficient market hypothesismultiple testingfinancial bubble

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Uses Software

• Scikit
• ISLR

Cites Work

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• CRASHES AS CRITICAL POINTS
• Automatic Lag Selection in Covariance Matrix Estimation
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• An Introduction to Statistical Learning
• The Econometric Modelling of Financial Time Series
• Stepwise Multiple Testing as Formalized Data Snooping
• Common risk factors in the returns on stocks and bonds
• The elements of statistical learning. Data mining, inference, and prediction

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