Book Contents
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Chapter 3 - Predicting Stock Market Returns
- 3.1 Problem Description and Objectives
- 3.2 The Available Data
- 3.2.1 Handling time dependent data in R
- 3.2.2 Reading the data from the CSV file
- 3.2.3 Getting the data from the Web
- 3.2.4 Reading the data from a MySQL database
- 3.3 Defining the Prediction Tasks
- 3.3.1 What to predict?
- 3.3.2 Which predictors?
- 3.3.3 The prediction tasks
- 3.3.4 Evaluation criteria
- 3.4 The Prediction Models
- 3.4.1 How will the training data be used?
- 3.4.2 The modeling tools
- 3.5 From Predictions into Actions
- 3.5.1 How will the predictions be used?
- 3.5.2 Trading-related evaluation criteria
- 3.5.3 Putting everything together: a simulated trader
- 3.6 Model Evaluation and Selection
- 3.6.1 Monte Carlo estimates
- 3.6.2 Experimental comparisons
- 3.6.3 Results analysis
- 3.7 The Trading System
- 3.7.1 Evaluation on the final test data
- 3.7.2 An online trading system
- 3.8 Summary
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