Uncovering Linkages in International Financial Markets Via Boosting

FEDEA Working Paper No. 2004-23

25 Pages Posted: 7 Jan 2005 Last revised: 22 Sep 2011

See all articles by Simon Sosvilla-Rivero

Simon Sosvilla-Rivero

UCM Institute for Economic Analysis

Pedro N. Rodriguez

Complutense University of Madrid - Facultad de Ciencias Económicas y Empresariales - Departamento de Estadística e Investigación Operativa II

Date Written: January 1, 2005

Abstract

Boosting is a powerful learning idea that has produced dramatic improvements in predictive learners' performance. In this paper, we use a Gradient Boosting Machine to discover linkages in three main stock market indices in the world during periods of large positive price changes. The uncovered lead-lag patterns reveal that the Standard & Poors 500 index contains incremental information that could be used to enhance the predictability of the large positive returns in the three main stock market indices in the world. This result cannot be explained by neither FTSE 100's nor Nikkei 225's information content.

Keywords: International stock markets, Causality

JEL Classification: G15, C32

Suggested Citation

Sosvilla-Rivero, Simon and Rodriguez, Pedro N., Uncovering Linkages in International Financial Markets Via Boosting (January 1, 2005). FEDEA Working Paper No. 2004-23. Available at SSRN: https://ssrn.com/abstract=643544 or http://dx.doi.org/10.2139/ssrn.643544

Simon Sosvilla-Rivero (Contact Author)

UCM Institute for Economic Analysis ( email )

Carretera de Humera s/n
Madrid, Madrid 28223
Spain
+34913932626 (Phone)

HOME PAGE: http://www.ucm.es/info/ecocuan/ssr/

Pedro N. Rodriguez

Complutense University of Madrid - Facultad de Ciencias Económicas y Empresariales - Departamento de Estadística e Investigación Operativa II ( email )

Carretera de Humera s/n
Madrid 28223, Madrid 28223
Spain

HOME PAGE: http://www.pnrodriguez.com

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