Asset Forward Return Predicition using Regression, KNN, and PCR

Data mining techniques have become unprecedentedly crucial in modern financial industry. This project try to build statistical models to predict the forward return of a target asset based on the historical price series of the target asset and other two assets.

Applied linear regression, KNN, Ridge and LASSO regression, and principal component regression (PCR) to generate the corresponding prediction and calculate the rolling correlation between prediction and true response.