Predictability of shapes of intraday price curves. (English) Zbl 1521.62196
Summary: We develop a statistical framework, based on functional data analysis, for testing the hypothesis of the predictability of shapes of intraday price curves. We derive test statistics based on signs of the scores of the functional principal components. We establish its asymptotic properties under the null and alternative hypotheses, and demonstrate via simulations that it has excellent finite sample properties. A small empirical study shows that the shapes of the intraday price curves of large US corporations are not predictable.
MSC:
62P05 | Applications of statistics to actuarial sciences and financial mathematics |
62H25 | Factor analysis and principal components; correspondence analysis |
62R10 | Functional data analysis |