Short Time Segment Price Forecasts Using Spline Fit Interactions

Ke Xu, Jun Chen, Jian Yao, Zhaoyang Zhao, Tao Yu, Kamran Dadkhah and Bill C. Giessen
Additional contact information
Ke Xu: Barnett Institute
Jun Chen: Bloomberg LP
Jian Yao: Barnett Institute
Zhaoyang Zhao: Barnett Institute
Tao Yu: Barnett Institute
Kamran Dadkhah: Northeastern University
Bill C. Giessen: Barnett Institute

A chapter in Practical Fruits of Econophysics, 2006, pp 111-115 from Springer

Abstract: Summary Empirically, correlations are seen to exist between market action in specific, short market periods such as the AM, PM and overnight (ON) periods for different days of the week on the one hand and market trends (on various time scales) on the other hand. We use real-time spline fits with tunable smoothness parameters and their signs to obtain signals for these market periods and show that they are stationary (and tradable) for S&P 500 futures.

Keywords: Intraday periods; Overnight periods; S&P 500 Futures; Price prediction; Spline fits (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_19

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DOI: 10.1007/4-431-28915-1_19

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