Robustness and Exploitability of Intraday Stock Return Prediction
July 24, 2023 - Calendar Effects
Are intraday stock market exchange-traded funds (ETF), stock sector ETFs and individual stock returns exploitably predictable at short horizons? In their June 2023 paper entitled “Intraday Stock Predictability Everywhere”, Fred Liu and Lars Stentoft study intraday U.S. equity return predictability using machine learning methods. Specifically, they: Consider the market portfolio represented by SPDR S&P 500… Keep Reading