Adaptive Order Flow Forecasting with Multiplicative Error Models

  • A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading volumes and the order flow dynamics. Analysing order flow series and its information content of mini Nikkei 225 index futures traded at the Osaka Securities Exchange in 2012 and 2013, a data-driven optimal length of local windows up to approximately 1-2 hours is reasonable to capture parameter variations and is suitable for short-term prediction. Our proposed trading strategies achieve statistical arbitrage opportunities and are therefore beneficial for quantitative finance practice.

Export metadata

Additional Services

Search Google Scholar
Metadaten
Author: Wolfgang Karl Härdle, Andrija Mihoci, Christopher Hian-Ann Ting
URL:http://www.hsd-stat.hr/en/isccro_en/publications/
Title of the source (English):Book of abstracts of the ISCCRO - international statistical conference in Croatia
Publisher:Croatian Statistical Association
Place of publication:Zagreb
Document Type:Conference Proceeding
Language:English
Year of publication:2016
Tag:Forecasting; Multiplicative Error Models; Order Flow; Trading Volume
Comment:
ISSN 1849-9864
Faculty/Chair:Fakultät 5 Wirtschaft, Recht und Gesellschaft / FG Wirtschaftsstatistik und Ökonometrie
Einverstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.