Using classification and regression trees to model financial market movement

Andrew Coult; Durai Sundaramoorthi; Dung Hai Nguyen

Using classification and regression trees to model financial market movement

Andrew Coult
, Durai Sundaramoorthi
, Dung Hai Nguyen

Research output: Contribution to conference › Paper › peer-review

Abstract

Classification and Regression Trees (CART) is a method of predictive analytics that attempts to predict or classify using a set of continuous or categorical variables. In this paper, we investigate the predictability of financial market movement with CART by forecasting the daily closing prices of the S&P 500 index. We use the daily movement of financial markets in six Asian and European countries in relation to the daily movement of the S&P 500. We model how the closing price of the S&P 500 move in tandem with these markets, the currency exchange rates of these countries, and the measured effect of the time differential.

Original language	English
State	Published - 2010
Event	IIE Annual Conference and Expo 2010 - Cancun, Mexico Duration: Jun 5 2010 → Jun 9 2010

Conference

Conference	IIE Annual Conference and Expo 2010
Country/Territory	Mexico
City	Cancun
Period	06/5/10 → 06/9/10

Keywords

Cart
Financial markets
Prediction

Cite this

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title = "Using classification and regression trees to model financial market movement",

abstract = "Classification and Regression Trees (CART) is a method of predictive analytics that attempts to predict or classify using a set of continuous or categorical variables. In this paper, we investigate the predictability of financial market movement with CART by forecasting the daily closing prices of the S\&P 500 index. We use the daily movement of financial markets in six Asian and European countries in relation to the daily movement of the S\&P 500. We model how the closing price of the S\&P 500 move in tandem with these markets, the currency exchange rates of these countries, and the measured effect of the time differential.",

keywords = "Cart, Financial markets, Prediction",

author = "Andrew Coult and Durai Sundaramoorthi and Nguyen, \{Dung Hai\}",

year = "2010",

language = "English",

note = "IIE Annual Conference and Expo 2010 ; Conference date: 05-06-2010 Through 09-06-2010",

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TY - CONF

T1 - Using classification and regression trees to model financial market movement

AU - Coult, Andrew

AU - Sundaramoorthi, Durai

AU - Nguyen, Dung Hai

PY - 2010

Y1 - 2010

N2 - Classification and Regression Trees (CART) is a method of predictive analytics that attempts to predict or classify using a set of continuous or categorical variables. In this paper, we investigate the predictability of financial market movement with CART by forecasting the daily closing prices of the S&P 500 index. We use the daily movement of financial markets in six Asian and European countries in relation to the daily movement of the S&P 500. We model how the closing price of the S&P 500 move in tandem with these markets, the currency exchange rates of these countries, and the measured effect of the time differential.

AB - Classification and Regression Trees (CART) is a method of predictive analytics that attempts to predict or classify using a set of continuous or categorical variables. In this paper, we investigate the predictability of financial market movement with CART by forecasting the daily closing prices of the S&P 500 index. We use the daily movement of financial markets in six Asian and European countries in relation to the daily movement of the S&P 500. We model how the closing price of the S&P 500 move in tandem with these markets, the currency exchange rates of these countries, and the measured effect of the time differential.

KW - Cart

KW - Financial markets

KW - Prediction

UR - https://www.scopus.com/pages/publications/84901045287

M3 - Paper

AN - SCOPUS:84901045287

T2 - IIE Annual Conference and Expo 2010

Y2 - 5 June 2010 through 9 June 2010

ER -

Using classification and regression trees to model financial market movement

Abstract

Conference

Keywords

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