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International Workshop on the Internet for Financial Collective Awareness and Intelligence

International Workshop on Internet and Social Media for Environmental Monitoring

IFIN 2016, ISEM 2016: Collective Online Platforms for Financial and Environmental Awareness pp 81–97Cite as

Predicting Euro Stock Markets

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Part of the book series: Lecture Notes in Computer Science ((LNISA,volume 10078))

Abstract

Forecasting exercises are mostly concentrated on the point estimation of future realizations of stock returns. In this paper we try to forecast the direction of the Eurostoxx 50. Under a Dynamic Probit framework we test whether subsequent sign reversals can be accurately forecasted. To this end, we make use of industrial portfolios constructed in the spirit of Fama and French. Furthermore, we augment the forecasting models with macroeconomic variables. Finally, we construct a new sentiment index based on the news for Oil prices. Results show, that the out-of-sample forecasting accuracy approximates 80%.

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Notes

  1. 1.

    https://www.poolparty.biz.

  2. 2.

    http://www.wjh.harvard.edu/~inquirer/.

  3. 3.

    http://www.cs.waikato.ac.nz/ml/weka/.

  4. 4.

    The selected countries and the number of stocks are upon availability of the data.

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Acknowledgements

This work has been supported by the EU HORIZON 2020 project PROFIT (Contract no: 687895).

Author information

Authors and Affiliations

  1. Department of Economics, Democritus University of Thrace, Panepistimioupoli, 69100, Komotini, Greece

    Ioannis Praggidis, Vasilios Plakandaras & Eirini Karapistoli

Authors
  1. Ioannis Praggidis
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  2. Vasilios Plakandaras
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  3. Eirini Karapistoli
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Corresponding author

Correspondence to Ioannis Praggidis .

Editor information

Editors and Affiliations

  1. Information Technologies Institute, Centre for Research and Technology, Thessaloniki, Greece

    Anna Satsiou

  2. Adam Smith Business School, University of Glasgow, Glasgow, United Kingdom

    Georgios Panos

  3. Department of Economics, Democritus University of Thrace, Komotini, Greece

    Ioannis Praggidis

  4. Information Technologies Institute, Centre for Research and Technology, Thessaloniki, Greece

    Stefanos Vrochidis

  5. Information Technologies Institute, Centre for Research and Technology, Thessaloniki, Greece

    Symeon Papadopoulos

  6. DRAXIS Environmental S.A., Thessaloniki, Greece

    Christodoulos Keratidis

  7. DRAXIS Environmental S.A., Thessaloniki, Greece

    Panagiota Syropoulou

  8. Norwegian Institute for Air Research, Tromsø, Norway

    Hai-Ying Liu

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Praggidis, I., Plakandaras, V., Karapistoli, E. (2016). Predicting Euro Stock Markets. In: Satsiou, A., et al. Collective Online Platforms for Financial and Environmental Awareness. IFIN ISEM 2016 2016. Lecture Notes in Computer Science(), vol 10078. Springer, Cham. https://doi.org/10.1007/978-3-319-50237-3_3

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  • DOI: https://doi.org/10.1007/978-3-319-50237-3_3

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-50236-6

  • Online ISBN: 978-3-319-50237-3

  • eBook Packages: Computer ScienceComputer Science (R0)

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