Previsão de retornos intradiários através de regressões usando funções-núcleo

Pedro Valls Pereira

No 178, Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

Abstract: The contributions of this paper are twofold. First we discuss and apply a method for the evaluation of non linear regressions in forecasting intraday returns of Brazilian stocks, in order to maximize the return of a simulated trading portfolio. Second, Kernel regressions associated with Nearest Neighbors sample partitioning are carried out. Some independent variables are technical indicators, which parameters are optimized in-the-sample. The results are positive as a trading strategy and outperformed by a small difference the linear autoregression benchmark model in a quartile per quartile analysis

Date: 2009-06-10
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:eesptd:178

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