Information fusion-based meta-classification predictive modeling for ETF performance

Asil Oztekin ()
Additional contact information
Asil Oztekin: University of Massachusetts

Information Systems Frontiers, 2018, vol. 20, issue 2, No 4, 223-238

Abstract: Abstract This study is aimed at determining the future share net inflows and outflows of Exchange Traded Funds (ETFs). The relationship between net flows is closely related to investor perception of the future and past performance of mutual funds. The net flows for Exchange Traded Funds are expected to be less related to overall fund performance, but rather based on the characteristics of the fund that make it attractive to an individual investor. In order to explore the relationship between investor’s perception of ETFs and subsequent net flows, this study is designed to shed light on the multifaceted linkages between fund characteristics and net flows. A meta-classification predictive modeling approach is designed for the use of large data sets. Then its implementation and results are discussed. A thorough selection of fifteen attributes from each fund, which are the most likely contributors to fund inflows and outflows, is deployed in the analyses. The large data set calls for the use of a robust systematic approach to identifying the attributes of the funds that best predict future inflows and outflows of the fund. The predictive performance of the proposed decision analytic methodology was assessed via the 10-fold cross validation, which yielded very promising results.

Keywords: Exchange traded funds; Meta-classification predictive modeling; Business analytics; Data mining; Decision analytics; Variable importance ranking (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://link.springer.com/10.1007/s10796-016-9704-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:infosf:v:20:y:2018:i:2:d:10.1007_s10796-016-9704-4

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10796

DOI: 10.1007/s10796-016-9704-4

Access Statistics for this article

Information Systems Frontiers is currently edited by Ram Ramesh and Raghav Rao

More articles in Information Systems Frontiers from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().