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Jan 19

Week in Review 200112 Forecast Return

Posted by abiao at 11:26 | Review | Comments(0) | Reads(6171)
Consumer Confidence and Equity Returns: what can we learn from Michigan Consumer Confidence index to reflect future equity returns?

Time Series Matching: If history repeat itself, we can "predict" futures return. Using historical data and time series matching analysis to make an educated guess what S&P 500 will do in the next week, month, quarter. Detailed R codes are provided.

Best Practices for Programming MATLAB: List of Best Practices for Matlab coding.

Systematic Investor Toolbox: a collection of tools that we use in everyday quantitative investment research written in R.

My Life in Finance: by Eugene F. Fama.

Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?: the answer is, not surprisingly, YES.

Trend-following and Momentum Strategies in Futures Markets: momentum trading signals generated by fitting a linear trend on the asset price path maximise the out-of-sample performance while minimizing the portfolio turnover, hence dominating the ordinary momentum trading signal in literature, the sign of past return. Second, the results show strong momentum patterns at the monthly frequency of rebalancing, relatively strong momentum patterns at the weekly frequency and relatively weak momentum patterns at the daily frequency.

Forecasting with Internet Search Data: can we?

Euro Zone Debt Crisis in Graphics: Fourteen graphs showing what's happened in Euro zone.

How to Get Published in Academic Journals

How to get Published from Taylor & Francis on Vimeo.

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