How and When are High-Frequency Stock Returns Predictable?
收藏NBER2022-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w30366
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资源简介：
This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent, predictability
提供机构：
美国国家经济研究局
创建时间：
2022-08-01
