Conférences, congrès, colloques, tribunes

Test Methods using Compexity / Predictability



Returns and log returns of indices and stocks, especially their sign, seem hard to predict. But, often, there is a frustrating impression that, in some time intervals, some prediction techniques have better, if still modest, performance.
In this presentation we describe briefly some complexity measures that present the advantage of requiring a limited number of samples only. As such, they can be applied to a sliding window in order to detect "pockets of predactibility."

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