Test on the Validity of Futures Market's High Frequency Volume and Price on Forecast

Abstract

Trading via a high-frequency data is becoming one of the hottest researches field at home and abroad. There are many factors that influence price movements, including price, volume and positions, etc. Using high-frequency data of Share Price Index Futures (SPIF) to construct different variables, and then using decision tree model to forecast price movement and the prediction accuracy can reach 70%. The study has found that moving average price movements has considerable importance in the forecast, and trading volumes and position changes on the price forecasting plays limited role.