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Gurgul Henryk (AGH University of Science and Technology, Poland), Machno Artur (AGH University of Science and Technology, Poland)
Trade Pattern on Warsaw Stock Exchange and Prediction of Number of Trades
Statistics in Transition, 2017, vol. 18, nr 1, s. 91-114, rys., tab., aneks, bibliogr. s. 109-110
Słowa kluczowe
Prognozowanie, Modele liniowe, Transakcje giełdowe
Forecasting, Linear models, Stock exchange dealings
Klasyfikacja JEL: C53, G17
Giełda Papierów Wartościowych w Warszawie
Warsaw Stock Exchange
The main goal of this paper is to present the method for describing and predicting trade intensity on the Warsaw Stock Exchange. The approach is based on generalized linear models, the variable selection is performed using shrinkage methods such as the Lasso or Ridge regression. The variable under investigation is the number of trades of a particular stock 5-minute interval. The main conclusion is that the number of trades during short intervals is predictable in the sense that the prediction, even based on relatively simple models, is with respect to statistical properties better than the prediction based on the random walk, which is used as a benchmark model. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Pełny tekst
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