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Econometric approach for forecasting stock indices price
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Orientador(es)
Resumo(s)
This work proposes to build a profitable dynamic trading strategy. In order to
do that it is necessary to forecast the future stock indices prices. First we exploit
the forecast power of stock indices assuming that they follow a Geometric Brownian
motion. Next, we present an alternative forecasting model that involves cross sectional
regression between indices. The latter proves to be more profitable on average
than the former.
Descrição
Palavras-chave
Cross sectional regressions Stock indices Stochastic processes Trading strategies