On the Predictability of Stock Prices: A Case for High and Low Prices
On the Predictability of Stock Prices: A Case for High and Low Prices
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DOI：
10.2139/ssrn.1866223
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发表时间：
2011-06
期刊：
影响因子：
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通讯作者：
M. Caporin;A. Ranaldo;Paolo Santucci de Magistris
中科院分区：
文献类型：
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作者：
M. Caporin;A. Ranaldo;Paolo Santucci de Magistris
与资产价格几乎不可能预测的常识相反，我们表明股票价格的高低在很大程度上是可以预测的。我们建议使用一个简单的实施分数向量自回归模型与误差校正（FVECM）的模型。该模型捕捉了高价格和低价格的两种基本模式：它们的协整关系和它们的差异的长期记忆（即范围），这是对已实现波动性的衡量。基于FVECM对美国股票价格高/低的预测作为退出/进入信号的投资策略，即使在风险调整基础上也能提供上级表现。
Contrary to the common wisdom that asset prices are barely possible to forecast, we show that that high and low prices of equity shares are largely predictable. We propose to model them using a simple implementation of a fractional vector autoregressive model with error correction (FVECM). This model captures two fundamental patterns of high and low prices: their cointegrating relationship and the long memory of their difference (i.e. the range), which is a measure of realized volatility. Investment strategies based on FVECM predictions of high/low US equity prices as exit/entry signals deliver a superior performance even on a risk-adjusted basis.