Artificial Intelligence for Financial Markets: The Polymodel Approach by Thomas Barrau & Raphael Douady
Author:Thomas Barrau & Raphael Douady [Barrau, Thomas & Douady, Raphael]
Language: eng
Format: epub, pdf
Tags: mathematics, Applied, General
ISBN: 9783030973193
Google: 14NyEAAAQBAJ
Publisher: Springer
Published: 2022-05-31T20:30:28+00:00
4.5.2 Sensitivity to Future Returns Windows
The indicator is designed so that it predicts the sign of the 3-month future returns of the markets. This choice has been made following some practitionersâ heuristics, 1 month being usually considered as too noisy for the crisis prediction, and the months following the next 3 months being considered as less predictable. Our sensitivity analysis on this parameter confirms this opinion, while showing the clear robustness of the trading strategy to this parameter (Table 4.7).Table 4.7Sensitivity of the average improvement of the Sharpe ratio to the future returns window
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