Enhancing quantitative intra-day stock return prediction by integrating both market news and stock prices information
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资源说明:The interaction between stock price process and market news has been widely analyzed by investors on different markets. Previous works, however, focus either on market news purely as exogenous factors that tend to lead price process or on the analysis of how past stock price process can affect future stock returns. To take a step forward, we quantitatively integrate information from both market news and stock prices in order to improve the accuracy of prediction on stock future price return in a
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