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This model (the first one) just use's ten stocks. I am working on
expanding it to 100 stocks. (NDX and OEX). For the Stepwise Regression I
start with the dependent series that has the greatest correlation to the
independent series, then I continue to add the next dependent series to the
model until there is no more significant improvement in its
performance. Part of the problem with correlation is that it does always
equate with causation, but when it does it will reveal vital information for
trading. This is why it has to be updated on a regular basis. For example the
Bond Mkt and the Equities Mkt have been "unlinked" (insignificantly correlated)
for quite awhile, they have recently started to become more "significantly
correlated" again.
On Sun, 10 Jun 2001 12:31:19 EDT JAC1390@xxxxxxx writes:
<BLOCKQUOTE dir=ltr
style="PADDING-LEFT: 10px; MARGIN-LEFT: 10px; BORDER-LEFT: #000000 2px solid">
Could you explain the parameters
of Stepwise Regression Model? Is this model capturing the stocks with the
greatest correlation to the NASDAQ 100? Thank you in advance,
JAC To
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