Predictability of shapes of intraday price curves

Piotr Kokoszka; Matthew Reimherr

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Predictability of shapes of intraday price curves

机译：日内价格曲线形状的可预测性

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摘要

We develop a statistical framework, based on functional data analysis, for testing the hypothesis of the predictability of shapes of intraday price curves. We derive test statistics based on signs of the scores of the functional principal components. We establish its asymptotic properties under the null and alternative hypotheses, and demonstrate via simulations that it has excellent finite sample properties. A small empirical study shows that the shapes of the intraday price curves of large US corporations are not predictable.

机译：我们基于功能数据分析开发了一个统计框架，以测试日内价格曲线形状的可预测性假设。我们基于功能主成分得分的迹象得出测试统计数据。我们在原假设和替代假设下建立其渐近性质，并通过仿真证明其具有出色的有限样本性质。一项小型的经验研究表明，大型美国公司的日内价格曲线的形状是不可预测的。

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来源
《The econometrics journal》 |2013年第3期|285-308|共24页
作者
Piotr Kokoszka; Matthew Reimherr;
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作者单位

Department of Statistics, Colorado State University, Fort Collins, CO 80523, USA;

Department of Statistics, University of Chicago, Chicago, IL 60637, USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Functional data analysis; Intraday returns; Predictability;

机译：功能数据分析;日内收益;可预测性;

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Predictability of shapes of intraday price curves

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