Test on the Validity of Futures Market´s High Frequency Volume and Price on Forecast

Author

Jingren Yuan ; Yuhong Luo

Author_Institution

Sch. of Bus. Inf., Shanghai Univ. of Int. Bus. & Econ., Shanghai, China

fYear

2014

Firstpage

28

Lastpage

32

Abstract

Trading via a high-frequency data is becoming one of the hottest researches field at home and abroad. There are many factors that influence price movements, including price, volume and positions, etc. Using high-frequency data of Share Price Index Futures (SPIF) to construct different variables, and then using decision tree model to forecast price movement and the prediction accuracy can reach 70%. The study has found that moving average price movements has considerable importance in the forecast, and trading volumes and position changes on the price forecasting plays limited role.

Keywords

decision trees; economic forecasting; pricing; stock markets; SPIF; decision tree model; futures market high frequency volume validity; moving average price movements; price movement forecasting; share price index futures; trading volumes; Analytical models; Data models; Decision trees; Educational institutions; Indexes; Predictive models; Solid modeling; Data mining; Decision tree; High-frequency data; Share Price Index Futures;

fLanguage

English

Publisher

ieee

Conference_Titel

Management of e-Commerce and e-Government (ICMeCG), 2014 International Conference on

Type

conf

DOI

10.1109/ICMeCG.2014.16

Filename

7046885