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Full-Text Articles in Physical Sciences and Mathematics
A Regression Model To Predict Stock Market Mega Movements And/Or Volatility Using Both Macroeconomic Indicators & Fed Bank Variables, Timothy A. Smith, Alcuin Rajan
A Regression Model To Predict Stock Market Mega Movements And/Or Volatility Using Both Macroeconomic Indicators & Fed Bank Variables, Timothy A. Smith, Alcuin Rajan
Publications
In finance, regression models or time series moving averages can be used to determine the value of an asset based on its underlying traits. In prior work we built a regression model to predict the value of the S&P 500 based on macroeconomic indicators such as gross domestic product, money supply, produce price and consumer price indices. In this present work this model is updated both with more data and an adjustment in the input variables to improve the coefficient of determination. A scheme is also laid out to alternately define volatility rather than using common tools such as the …
An Economic Regression Model To Predict Market Movements, Timothy A. Smith, Andrew Hawkins
An Economic Regression Model To Predict Market Movements, Timothy A. Smith, Andrew Hawkins
Publications
In finance, multiple linear regression models are frequently used to determine the value of an asset based on its underlying traits. We built a regression model to predict the value of the S&P 500 based on economic indicators of gross domestic product, money supply, produce price and consumer price indices. Correlation between the error in this regression model and the S&P’s volatility index (VIX) provides an efficient way to predict when large changes in the price of the S&P 500 may occur. As the true value of the S&P 500 deviates from the predicted value, obtained by the regression model, …