IDEAS home Printed from https://ideas.repec.org/p/sce/scecf5/347.html
   My bibliography  Save this paper

An Integrated Approach For Stock Price Forecasting

Author

Listed:
  • Alvaro Veiga
  • Gustavo Santos Raposo

Abstract

This article faces the problem of stock price forecasting based on an integrated approach in which the modeling of high frequency financial data (duration, volume and bid-ask spread) uses a contemporaneous ordered probit model – the price changes (measured in numbers of ticks) are the interest variable. Here, the formulation introduced by Raposo and Veiga (2004) – EMACM – is used in order to capture the dynamic that high frequency variables present, and its forecasting function is taken as proxy to the contemporaneous information necessary to the price model being created. In that context, the main purpose of the article is to compare the performance of the current model against NAIVE, testing the use of real data instead of the results of the forecasting function.

Suggested Citation

  • Alvaro Veiga & Gustavo Santos Raposo, 2005. "An Integrated Approach For Stock Price Forecasting," Computing in Economics and Finance 2005 347, Society for Computational Economics.
    • Handle: RePEc:sce:scecf5:347
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    High frequency data; ordered probit model; EMACM; nonlinear time series;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecf5:347. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/sceeeea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.