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首页> 外文期刊>The North American journal of economics and finance >States of psychological anchors and price behavior of Japanese yen futures
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States of psychological anchors and price behavior of Japanese yen futures

机译：日元期货的心理锚和价格行为

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This study explores whether the relationship between Japanese yen futures returns and the corresponding equity returns is affected by the states of psychological anchors of the currency and stock markets. This study employs the linear-regression-based tree model (a machine learning method) to account for the framing effect of the anchors. The empirical results of the linearregression-based tree model show that the currency price behaviors of momentum and reversal, and prediction by equity markets, vary with the anchors. Empirical evidence also indicates that the linear-regression-based tree model outperforms the OLS model based on the estimation results and out-of-sample forecasting. The forecasting performance of the linear-regression-based tree model can be improved along with an increase in the forecasting period.
机译：本研究探讨了日元期货返回的关系和相应的股权回报受货币和股票市场的心理锚点的影响。本研究采用基于线性回归的树模型（机器学习方法）来解释锚的框架效果。基于线簧的树模型的经验结果表明，动量和逆转的货币价格行为以及股票市场预测，锚点不同。经验证据还表明基于线性回归的树模型基于估计结果和样品外预测优于OLS模型。线性回归的树模型的预测性能可以随着预测期的增加而得到改善。

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