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Home | Events Archive | Intraday Price Patterns
Research Master Pre-Defense

Intraday Price Patterns

  • Series
    Research Master Defense
  • Speaker
    Abhinav Bhuyan
  • Location
    Online
  • Date and time

    August 31, 2020
    09:00 - 10:00

We forecast intraday returns for futures of equity indices, government bonds and commodities in the opening and closing hours of the market, using three different techniques: linear regression (OLS), principal components analysis, and an artificial neural network. We further formulate a simple trading strategy based on this forecast, and analyze out-of-sample performance and economic gains. We generally find low predictability but some potential economic significance for equities and commodities.