arXiv 27 Feb 2021 · Finance — Statistical Finance
arXiv:2103.00264 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a forecast-centric adaptive learning model that engages with the past studies on the order book and high-frequency data, with applications to hypothesis testing. In line with the past literature, we produce brackets of summaries of statistics from the high-frequency bid and ask data in the CSI 300 Index Futures market and aim to forecast the one-step-ahead prices. Traditional time series issues, e.g. ARIMA order selection, stationarity, together with potential financial applications are covered in the exploratory data analysis, which pave paths to the adaptive learning model. By designing and running the learning model, we found it to perform well compared to the top fixed models, and some could improve the forecasting accuracy by being more stable and resilient to non-stationarity. Applications to hypothesis testing are shown with a rolling window, and further potential applications to finance and statistics are outlined.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Yang, Parley Ruogu (2020) Using The Yield Curve To Forecast Economic Growth self | 0.811 | 4 | 2 | 100% |
| 2 | Sirignano, Justin, Cont, Rama (2018) Universal features of price formation in financial markets: perspectives from Deep Learning | 0.737 | 3 | 2 | 100% |
| 3 | Harvey, Andrew C (2013) Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series | 0.644 | 2 | 2 | 100% |
| 4 | (1974) A new look at the statistical model identification | 0.644 | 2 | 2 | 100% |
| 5 | Klenke, Achim (2013) Probability Theory: A Comprehensive Course | 0.644 | 2 | 2 | 100% |
| 6 | Vapnik, Vladimir N (2000) The Nature of Statistical Learning Theory | 0.644 | 2 | 2 | 100% |
| 7 | Harvey, Andrew C, Sucarrat, Genaro (2014) EGARCH models with fat tails, skewness and leverage | 0.405 | 1 | 1 | 100% |
| 8 | Avellaneda, Marco, Reed, Josh, Stoikov, Sasha (2011) Forecasting prices from level-I quotes in the presence of hidden liquidity | 0.405 | 1 | 1 | 100% |
| 9 | Andres, Philipp, Harvey, Andrew C (2012) The Dyanamic Location/Scale Model: with applications to intra-day financial data | 0.405 | 1 | 1 | 100% |
| 10 | Casella, George, Berger, Roger L (2008) Statistical Inference | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 27 scored citations.