Naslov
Time interval choices in forecasting stock market indices of CEE and SEE countries

Autori
Vlah Jerić, Silvija

Izvornik
Post-communist economies (1463-1377) Online (2023); 1-11

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Technical trading ; stock price prediction ; financial forecasting ; classification algorithms ; machine learning

Sažetak
The main objective of this analysis is to investigate how varying the forecast horizon and the input window length for calculating tech-nical indicators affects the predictive performance of different machine learning algorithms on forecasting the direction of change of chosen stock market indices. Ten indices from CEE (Central and Eastern European) and SEE (Southern and Eastern European) coun-tries are chosen for research in an attempt to investigate their behaviour in the light of the behaviour of bigger and more researched markets. In respect to similar research conducted on S&P 500 Index stocks, this analysis does not find the same pattern of highest system performance for each forecast horizon value when the input window length is approximately equal to the forecasting horizon. Instead, the forecasts seem to be better using shorter input window lengths for technical indicators in general. Also, on aver-age, there is a notable deterioration in the performance with the increase of forecasting horizon. Furthermore, some algorithms per-form very well for short horizons and then deteriorate substantially as the forecasting horizon increases, while others seem to have more consistent performance over different horizons.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA