Identification of nonlinear determinants of stock indices derived by Random Forest algorithm
| Sep 10, 2020
About this article
Article Category: Empirical Paper
Published Online: Sep 10, 2020
Page range: 209 - 217
Received: Jan 28, 2020
Accepted: Jun 30, 2020
DOI: https://doi.org/10.2478/ijme-2020-0017
Keywords
© 2020 Grzegorz Tratkowski, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
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List of input variables—commodities, macroeconomics, and bond yields
| Oil | EM HICP—ALL ITEMS | US 30y bond yield |
| Copper | The Conference Board Leading Economic Index | German 2y bond yield |
| Gold | US money supply M2 | Euro 10y bond yield |
| Palladium | CHINA CPI | Greece 10y bond yield |
| Aluminum | Eurozone Consumer Confidence Indicator | Portugal 10y bond yield |
| Platinum | US AHETPI | UK 3y bond yield |
| Nickel | UK CPI YoY | US 1y bond yield |
| Wheat | China Imports | US 5y bond yield |
| Lead | German CPI | German 5y bond yield |
| Silver | China Exports | Canadian 10y bond yield |
| Sugar | US New Private Housing Units Started | Austrian 10y bond yield |
| Soybeans | China Prime Lending Rate | Belgian 10y bond yield |
| Cotton | Eurozone Unemployment Rate | Finland 10y bond yield |
| Nickel 3m | US Nonfarm Payroll Employment | South African 10y bond yield |
| US Personal Consumption Expenditures | Sweden 10y bond yield | |
| Baltic Exchange Dry Index | Eurozone Industrial Confidence Indicator | US 3y bond yield |
| IBOXX EURO CORPORATES | US Industrial Production - Manufacturing | French 3m bond yield |
| IBOXX EURO EUROZONE | UK Consumer Confidence Indicator | German 1y bond yield |
| IBOXX £ CORPORATES | Indian 10y bond yield | |
| US CPI—ALL URBAN | US 10y bond yield | Irish 10y bond yield |
| US ISM PMI | German 10y bond yield | Japan 3m bond yield |
| US Unemployment Rate | UK 10y bond yield | Netherlands 10y bond yield |
| US Industrial Production | Japan 10y bond yield | Polish 10y bond yield |
| UK CPI INDEX All Items | Italy 10y bond yield | French 5y bond yield |
| US Treasury Bill Rate – 3m | US 3m bond yield | German 30y bond yield |
| US Personal Consumption Expenditure | US 2y bond yield | Italian 3m bond yield |
| China CPI YoY | French 10y bond yield | Swiss 10y bond yield |
| US PCE less food & energy | German 3y bond yield | US 6m bond yield |
List of input variables—currencies and equities
| USD TWI | New Zealand $ to Euro | S&P 500 | MDAX Frankfurt |
| EUR TWI | Peruvian Sol to Euro | MSCI World | OMX Copenhagen |
| GBP TWI | Chilean Peso to Euro | FTSE 100 | S&P 500 Growth |
| US $ to EURO | Croatian Kuna to Euro | DAX 30 Price Index | SHENZHEN SE B Share |
| UK £ to EURO | Icelandic Krona to Euro | Stoxx 600 | SBF 120 |
| Japanese Yen to Euro | Qatari Rial to Euro | Euro stoxx 50 | STOXX EUROPE 50 |
| Swiss Franc to Euro | Saudi Riyal to Euro | Hang Seng | AEX All Share |
| Swedish Krona to Euro | Ukraine Hryvnia to Euro | Shanghai SE A Share | Euronext 100 |
| Norwegian Krone to Euro | Albanian Lek to Euro | Topix | OSLO Exchange All Share |
| Chinese Yuan to Euro | Algerian Dinar to Euro | MSCI EM | BUDAPEST (BUX) |
| Canadian $ to Euro | GBP to USD | CAC 40 | ROMANIA BET |
| Brazilian Real to Euro | Japanese Yen to USD | FTSE All Share | S&P/ASX 300 |
| Danish Krone to Euro | Chinese Yuan to USD | Korea SE Kospi | Next 150 |
| Polish Zloty to Euro | South Africa Rand to USD | MSCI AC World | MSCI EAFE |
| Australian $ to Euro | Canadian $ to USD | S&P/ASX 200 | MSCI PACIFIC |
| Czech Koruna to Euro | Brazilian Real to USD | FTSE 250 | NIKKEI 225 |
| Hong Kong $ to Euro | South Korean Won to USD | FTSE MIB | DOW JONES IND. |
| Hungarian Forint to Euro | Indian Rupee to USD | S&P/TSX | NASDAQ 100 |
| Russian Rouble to Euro | Mexican Peso to USD | Euro stoxx | BRAZIL BOVESPA |
| Singapore $ to Euro | Russian Rouble to USD | Swiss SMI | NASDAQ |
| South Africa Rand to Euro | Swiss Franc to USD | MSCI Europe | FTSE/JSE ALL SHARE |
| New Turkish Lira to Euro | Australian $ to USD | Ibex 35 | RUSSELL 2000 |
| South Korean Won to Euro | Indonesian Rupiah to USD | AEX index | FTSE ALL WORLD |
| Argentine Peso to Euro | Swedish Krona to USD | BEL 20 | FTSE Bursa Malaysia |
| Indian Rupee to Euro | EUR to USD | OMX 30 | MOEX Russia Index |
| Mexican Peso to Euro | Taiwan New $ to USD | S&P 500 Value | WIG |
| Thai Baht to Euro | Thai Baht to USD | Straits Times Index | |
| Israeli Shekel to Euro | CHF to USD | Taiwan SE - TAIEX | |
| Colombian Peso to Euro | Hong Kong $ to USD | SET index Bangkok | |
| Malaysian Ringgit to Euro | New Turkish Lira to USD | Hang Seng China Enterprises | |
| New Romanian Leu to Euro | Norwegian Krone to USD | IDX | |
| Taiwan New $ to Euro | Philippine Peso to USD | OMX Helsinki |