Algorithmic sign prediction and covariate selection across eleven international stock markets

Markku Karhunen

Research output: Contribution to journalArticleScientificpeer-review

LanguageEnglish
JournalExpert Systems with Applications
Volume115
Pages256-263
Number of pages8
ISSN0957-4174
DOIs
Publication statusPublished - Jan 2019
MoE publication typeA1 Journal article-refereed

Fields of Science

  • Stock market indices
  • S&P 500
  • Sign prediction
  • Efficient-market hypothesis
  • Regularized regression
  • Similarity-based classification
  • RETURN PREDICTABILITY
  • UNITED-STATES
  • MODELS
  • REGULARIZATION
  • REGRESSION
  • LASSO
  • OIL
  • 511 Economics

Cite this

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title = "Algorithmic sign prediction and covariate selection across eleven international stock markets",
keywords = "Stock market indices, S&P 500, Sign prediction, Efficient-market hypothesis, Regularized regression, Similarity-based classification, RETURN PREDICTABILITY, UNITED-STATES, MODELS, REGULARIZATION, REGRESSION, LASSO, OIL, 511 Economics",
author = "Markku Karhunen",
year = "2019",
month = "1",
doi = "10.1016/j.eswa.2018.07.061",
language = "English",
volume = "115",
pages = "256--263",
journal = "Expert Systems with Applications",
issn = "0957-4174",
publisher = "Elsevier Scientific Publ. Co",

}

Algorithmic sign prediction and covariate selection across eleven international stock markets. / Karhunen, Markku.

In: Expert Systems with Applications, Vol. 115, 01.2019, p. 256-263.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Algorithmic sign prediction and covariate selection across eleven international stock markets

AU - Karhunen,Markku

PY - 2019/1

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KW - S&P 500

KW - Sign prediction

KW - Efficient-market hypothesis

KW - Regularized regression

KW - Similarity-based classification

KW - RETURN PREDICTABILITY

KW - UNITED-STATES

KW - MODELS

KW - REGULARIZATION

KW - REGRESSION

KW - LASSO

KW - OIL

KW - 511 Economics

U2 - 10.1016/j.eswa.2018.07.061

DO - 10.1016/j.eswa.2018.07.061

M3 - Article

VL - 115

SP - 256

EP - 263

JO - Expert Systems with Applications

T2 - Expert Systems with Applications

JF - Expert Systems with Applications

SN - 0957-4174

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