Can real-time investor sentiment help predict the high-frequency stock returns? : evidence from a mixed-frequency-rolling decomposition forecasting method
Yi Cai, Zhenpeng Tang, Ying Chen
| Year of publication: |
2024
|
|---|---|
| Authors: | Cai, Yi ; Tang, Zhenpeng ; Chen, Ying |
| Subject: | High-frequency stock returns | Machine learning prediction | Real-time investor sentiment | Reverse mixed-frequency data sampling | Rolling decomposition | Stock message boards | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Anlageverhalten | Behavioural finance | Börsenkurs | Share price | Künstliche Intelligenz | Artificial intelligence | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102147 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014534832