Tag Archives: equities

This post outlines a framework for forecasting short term (i.e. daily tick data) directional movements of equity prices. The method used here relies on support vector machines and treats the system like a Markov Chain. Historical data is downloaded from stooq.com. This is not investment advice or recommendation of an investment strategy but provided for educational purposes only. The following code comes with no warranties whatsoever. The code which can be found in its entirety on GitHub, attempts to model the directional movement (i.e. above or below the previous close) of the closing price of a stock on the following variables: return of the equity at lag = 1 return of the equity at lag = 3 return of SPY at lag = 1 return of SPY at lag = 3 return of QQQ at lag = 1 return of QQQ at lag = 3 return of UVXY at lag…

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