Decision trees unearth return sign predictability in the S&P 500
Year of publication: |
2018
|
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Authors: | Fiévet, Lucas ; Sornette, Didier |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 11, p. 1797-1814
|
Subject: | Autoregressive model | Decision tree | Efficient market hypothesis | Financial bubble | Markov chain | Multiple testing | Theorie | Theory | Effizienzmarkthypothese | Markov-Kette | Entscheidungsbaum | Spekulationsblase | Bubbles | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Portfolio-Management | Portfolio selection |
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