Statistical Methods in Finance 2016

Dec 18 - 22, 2016


Abstract

Analysis the Prediction Error Reduction Index (λ) of Pattern With Returns at Turn of the Year.

by Pramod Kumar Paus

For selecting and interpreting appropriate behaviour of proportion between buy/ sell pattern and high/ low returns, prediction error reduction index is very useful tool. It should be operationally interpretable in terms of the proportion reduction in error of estimation. We first obtain the buy/ sell pattern using an optimal band. The association analysis between pattern and returns is based on the Goodman-Kruskal Index of Predictive proportion (λ). Our empirical analysis suggests that the prediction error index is very low due to the turn of the year effect. The prediction error reduction of pattern with returns is demonstrated for Tata Motor data from 2004-2010.