Trading ebook Finance - Neural Prediction of Weekly Stock Market Index

5 fig 2 correlation long term rate and index

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Unformatted text preview: the long term rate delayed by 25 weeks is used. 5 Fig. 2: Correlation - long term rate and index Normalized cross-correlation 0.4 0.2 0 -0.2 -0.4 -0.6 -1000 -500 0 Delay+53 500 1000 Fig. 3: Correlation - long term rate and index Normalized cross-correlation -0.56 -0.57 -0.58 -0.59 -0.6 -0.61 -0.62 -70 -60 -50 -40 Delay+53 -30 -20 -10 Similarly, Fig. 4 and 5 show the complete and zoomed in cross-correlation’s between the short term interest rate and the index. From Fig. 4 and 5, it can be seen that there is a strong negative cross-correlation between the short term rate and the index, with the short term rate lagging the index either by 20 weeks or by 48 weeks. Since, both these inputs are sufficiently delayed from the index, both are used as inputs to the neural network. 6 Fig. 4: Correlation - short term rate and index Normalized cross-correlation 0.5 0 -0.5 -1000 -500 0 Delay-53 500 1000 Fig. 5: Correlation - short term rate and index -0.395 Normalized cross-correlation -0.4 -0.405 -0...
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