Questions tagged [forecasting]
The forecasting tag has no usage guidance.
247
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How to forecast volatility using high-frequency data?
There is a large literature covering volatility forecasts with high-frequency tick data. Much of this has surrounded the concept of "realized volatility", such as:
"Realized Volatility and ...
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23
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5
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Why are GARCH models used to forecast volatility if residuals are often correlated?
The answers to this question on forecast assessment suggest that if the sequence of residuals from the forecast are not properly independent, then the model is missing something and further changes ...
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59
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9
answers
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How useful is the genetic algorithm for financial market forecasting?
There is a large body of literature on the "success" of the application of evolutionary algorithms in general, and the genetic algorithm in particular, to the financial markets.
However, I feel ...
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31
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6
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Any research on how natural language processing can be used to forecast stocks?
Is there any published research of decent quality linking news or unstructured information to asset returns? I know that Thomson Reuters offers its Machine Readable news (MRN), so somebody must use it....
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What are the ensemble techniques to forecast returns?
It was pointed in an other question that ensemble methods can help to reduce curve fitting.
What are your experience with these and which one seems the most appropriate? If I had two forecasters that ...
- 2,293
22
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5
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How do you evaluate a covariance forecast?
Suppose you have two sources of covariance forecasts on a fixed set of $n$ assets, method A and method B (you can think of them as black box forecasts, from two vendors, say), which are known to be ...
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20
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3
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What type of analysis is appropriate for assessing the performance time-series forecasts?
When using time-series analysis to forecast some type of value, what types of error analysis are worth considering when trying to determine which models are appropriate.
One of the big issues that ...
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