1. Early prediction of Ibex 35 movements
- Author
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Miranda García, I. Marta, Mori, Usue, Lozano, José A., Segovia Vargas, María Jesús, Miranda García, I. Marta, Mori, Usue, Lozano, José A., and Segovia Vargas, María Jesús
- Abstract
In this paper, we examine the early predictability of the market's directional movement using intraday high‐frequency data (695,764 observations) from an stock index (Ibex 35 Index) to provide, either private or institutional investors, an early warning system based on an “early indicator” of the financial market fluctuations with an optimal combination of the two more relevant variables for this strategy, accuracy, and earliness. A novel supervised machine learning early classification technique (Artificial Intelligence) has been applied, for the first time, to the high‐frequency time series of both price and certain technical indicators.
- Published
- 2024