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Identification of nonlinear determinants of stock indices derived by Random Forest algorithm Cover

Identification of nonlinear determinants of stock indices derived by Random Forest algorithm

International Journal of Management and Economics
Volume 56 (2020): Issue 3 (September 2020)
By: Grzegorz Tratkowski  
Open Access
|Sep 2020

Figures & Tables

Figure 1

Occurrence in top 5 selected variables for WIG20 price index.
Occurrence in top 5 selected variables for WIG20 price index.

Figure 2

Occurrence in top 5 selected variables for DAX price index.
Occurrence in top 5 selected variables for DAX price index.

Figure 3

Occurrence in top 5 selected variables for Stoxx 600 price index.
Occurrence in top 5 selected variables for Stoxx 600 price index.

List of input variables—commodities, macroeconomics, and bond yields

CommoditiesUS Consumer Confidence IndexSpain 10y bond yield
OilEM HICP—ALL ITEMSUS 30y bond yield
CopperThe Conference Board Leading Economic IndexGerman 2y bond yield
GoldUS money supply M2Euro 10y bond yield
PalladiumCHINA CPIGreece 10y bond yield
AluminumEurozone Consumer Confidence IndicatorPortugal 10y bond yield
PlatinumUS AHETPIUK 3y bond yield
NickelUK CPI YoYUS 1y bond yield
WheatChina ImportsUS 5y bond yield
LeadGerman CPIGerman 5y bond yield
SilverChina ExportsCanadian 10y bond yield
SugarUS New Private Housing Units StartedAustrian 10y bond yield
SoybeansChina Prime Lending RateBelgian 10y bond yield
CottonEurozone Unemployment RateFinland 10y bond yield
Nickel 3mUS Nonfarm Payroll EmploymentSouth African 10y bond yield
MacroeconomicUS Personal Consumption ExpendituresSweden 10y bond yield
Baltic Exchange Dry IndexEurozone Industrial Confidence IndicatorUS 3y bond yield
IBOXX EURO CORPORATESUS Industrial Production - ManufacturingFrench 3m bond yield
IBOXX EURO EUROZONEUK Consumer Confidence IndicatorGerman 1y bond yield
IBOXX £ CORPORATESBond yieldsIndian 10y bond yield
US CPI—ALL URBANUS 10y bond yieldIrish 10y bond yield
US ISM PMIGerman 10y bond yieldJapan 3m bond yield
US Unemployment RateUK 10y bond yieldNetherlands 10y bond yield
US Industrial ProductionJapan 10y bond yieldPolish 10y bond yield
UK CPI INDEX All ItemsItaly 10y bond yieldFrench 5y bond yield
US Treasury Bill Rate – 3mUS 3m bond yieldGerman 30y bond yield
US Personal Consumption ExpenditureUS 2y bond yieldItalian 3m bond yield
China CPI YoYFrench 10y bond yieldSwiss 10y bond yield
US PCE less food & energyGerman 3y bond yieldUS 6m bond yield

List of input variables—currencies and equities

CurrenciesIndonesian Rupiah to EuroEquitiesATX
USD TWINew Zealand $ to EuroS&P 500MDAX Frankfurt
EUR TWIPeruvian Sol to EuroMSCI WorldOMX Copenhagen
GBP TWIChilean Peso to EuroFTSE 100S&P 500 Growth
US $ to EUROCroatian Kuna to EuroDAX 30 Price IndexSHENZHEN SE B Share
UK £ to EUROIcelandic Krona to EuroStoxx 600SBF 120
Japanese Yen to EuroQatari Rial to EuroEuro stoxx 50STOXX EUROPE 50
Swiss Franc to EuroSaudi Riyal to EuroHang SengAEX All Share
Swedish Krona to EuroUkraine Hryvnia to EuroShanghai SE A ShareEuronext 100
Norwegian Krone to EuroAlbanian Lek to EuroTopixOSLO Exchange All Share
Chinese Yuan to EuroAlgerian Dinar to EuroMSCI EMBUDAPEST (BUX)
Canadian $ to EuroGBP to USDCAC 40ROMANIA BET
Brazilian Real to EuroJapanese Yen to USDFTSE All ShareS&P/ASX 300
Danish Krone to EuroChinese Yuan to USDKorea SE KospiNext 150
Polish Zloty to EuroSouth Africa Rand to USDMSCI AC WorldMSCI EAFE
Australian $ to EuroCanadian $ to USDS&P/ASX 200MSCI PACIFIC
Czech Koruna to EuroBrazilian Real to USDFTSE 250NIKKEI 225
Hong Kong $ to EuroSouth Korean Won to USDFTSE MIBDOW JONES IND.
Hungarian Forint to EuroIndian Rupee to USDS&P/TSXNASDAQ 100
Russian Rouble to EuroMexican Peso to USDEuro stoxxBRAZIL BOVESPA
Singapore $ to EuroRussian Rouble to USDSwiss SMINASDAQ
South Africa Rand to EuroSwiss Franc to USDMSCI EuropeFTSE/JSE ALL SHARE
New Turkish Lira to EuroAustralian $ to USDIbex 35RUSSELL 2000
South Korean Won to EuroIndonesian Rupiah to USDAEX indexFTSE ALL WORLD
Argentine Peso to EuroSwedish Krona to USDBEL 20FTSE Bursa Malaysia
Indian Rupee to EuroEUR to USDOMX 30MOEX Russia Index
Mexican Peso to EuroTaiwan New $ to USDS&P 500 ValueWIG
Thai Baht to EuroThai Baht to USDStraits Times Index
Israeli Shekel to EuroCHF to USDTaiwan SE - TAIEX
Colombian Peso to EuroHong Kong $ to USDSET index Bangkok
Malaysian Ringgit to EuroNew Turkish Lira to USDHang Seng China Enterprises
New Romanian Leu to EuroNorwegian Krone to USDIDX
Taiwan New $ to EuroPhilippine Peso to USDOMX Helsinki
DOI: https://doi.org/10.2478/ijme-2020-0017 | Journal eISSN: 2543-5361 | Journal ISSN: 2299-9701
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Language: English
Page range: 209 - 217
Submitted on: Jan 28, 2020
Accepted on: Jun 30, 2020
Published on: Sep 10, 2020
Published by: Warsaw School of Economics
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year
Keywords:
determinants,
Random Forest,
stock index,
machine learning
Related subjects:
Business and economics,
Political economics,
Economic theory, systems and structures,
Business management,
Management accounting, financial controlling, cost calculation, investment

© 2020 Grzegorz Tratkowski, published by Warsaw School of Economics
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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