An Exploratory Study on the Complexity and Machine Learning Predictability of Stock Market Data

An Exploratory Study on the Complexity and Machine Learning Predictability of Stock Market Data

This paper shows if and how the predictability and complexity of stock market data changed over the last half-century and what influence the M1 money supply has. We use three different machine learning algorithms, i.e., a stochastic gradient descent linear regression, a lasso regression, and an XGBo...

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Bibliographic Details
Main Authors: Sebastian Raubitzek, Thomas Neubauer
Format: Article
Language:English
Published: MDPI AG 2022-02-01
Series:Entropy
Subjects:
hurst exponent
stock market data
time series prediction
machine learning
time series analysis
R/S analysis
Online Access:https://www.mdpi.com/1099-4300/24/3/332

Internet

https://www.mdpi.com/1099-4300/24/3/332

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