Browsing by Author "Nguyen, D.K."

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • Thumbnail Image
    ItemUnknown
    Forecasting high‐frequency excess stock returns via data analytics and machine learning
    (John Wiley and Sons Inc., 2023-01) Akyildirim, E.; Nguyen, D.K.; Şensoy, Ahmet; Šikić, M.
    Borsa Istanbul introduced data analytics to present additional information about its market conditions. We examine whether this product can be utilized via var ious machine learning methods to predict intraday excess returns. Accordingly, these analytics provide significant prediction ratios above 50% with ideal profit ratios that can reach up to 33%. Among all the methods considered, XGBoost (logistic regression) performs better in predicting excess returns in the long‐term analysis (short‐term analysis). Results provide evidence for the benefits of both the analytics and the machine learning methods and raise further discussion on the semistrong market efficiency.