Pedro Aceituno-Aceituno

Exploiting market state data for forecasting stock prices: an analysis using predictive algorithms for the Dow Jones and Nasdaq indexes

Predicting asset price movements is relevant for investment analysis, risk monitoring, and economic forecasting. This study evaluates whether a cross-sectional representation of the market state can improve short-horizon index forecasting relative to a univariate historical-price benchmark. The paper is framed as a for...