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3 Pass Regression Filter
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Finance & Management > Other - Finance & Mgmt

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Jul 10, 2012
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  • Posted: Sun, Jul 08, 2012
  • Time Left: Closed
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  • Hourly Rate: More than $50 / hr
  • Hrs/wk: Not Sure | Duration: 5 hrs
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Kelly & Pruitt use a "3-pass regression filter" to predict stock market returns by looking at time series of prices of many individual stocks, claiming far better out-of-sample predictive validity than using other measures. I think their paper uses book to market ratios and economic variables as predictors but they actually find that using a time series of numerous stock prices works even better. The real finding is the method -- the 3-pass regression filter -- that aggregates the data.

Here is a summary of their findings; the regression model is on a slide about a third of the way in titled "Partial Least Squares"

  [obscured]  /bryan.kelly/research/pdf/DisaggValRatioConf.pdf

The more detailed papers are here:

  [obscured]  /site/sethpruittnet/research

...the "Market Expectations" paper and the "3-Pass" paper.

I am interested in being able to use this metric in my tactical asset allocation model. I know how to do "Pass 1" -- regressing individual stock returns on future va...

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Desired Skills
Financial Forecasting
Job ID: 31791758
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Noah S.      
Noah S.'s identity has been verified.  Learn More
 United States  |  
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PhD in statistics from UCLA. Consulting details at: www.smartmediacorp.com. Expert with R, Matlab, C++. Specializing in predictive modeling....
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 0.0   |  Private   |  0 Jobs   |  2 verified credential(s)
Bid ID: 31792750  |  Submitted: Jul 8, 2012 13:44 ET 
$75.00/hr
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