Title :
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
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;
Conference_Titel :
Management of e-Commerce and e-Government (ICMeCG), 2014 International Conference on
DOI :
10.1109/ICMeCG.2014.16
