We propose that predictability is a prerequisite for profitability on financial markets. We look at ways to measure predictability of price changes using information theoretic approach and employ them on all historical data available for Warsaw Stock Exchange . This allows us to determine whether frequency of sampling price changes affects the predictability of those. We also study the time evolution of the predictability of price changes on the sample of 20 biggest companies on Warsaw's market and investigate the relationships inside this group, as well as the time evolution of the predictability of those price changes . We also briefly comment on the complicated relationship between predictability of price changes and the profitability of algorithmic trading.
We propose that predictability is a prerequisite for profitability on financial markets. We look at ways to measure predictability of price changes using information theoretic approach and employ them on all historical data available for NYSE 100 stocks . This allows us to determine whether frequency of sampling price changes affects the predictability of those. We also relations between price changes predictability and the deviation of the price formation processes from iid as well as the stock's sector . We also briefly comment on the complicated relationship between predictability of price changes and the profitability of algorithmic trading.
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Warsaw Stock Exchange
NYSE 100 stocks
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study the time evolution of the predictability of price changes on the sample of 20 biggest companies on Warsaw's market and investigate the relationships inside this group,
relations between price changes predictability and the deviation of the price formation processes from iid
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time evolution of the predictability of those price changes
stock's sector