Input Features 

Input Features The input features consist of three sets of variables.

1. The first set is the historical daily trading data of INTC including previous 5 day’s adjusted closing price, log returns, and OHLC variables. These features provide basic information about INTC stock.
2. The second set is the technical indicators that demonstrate various characteristics of the stock’s behavior.
3. The third set is about indexes: S&P500, CBOE Volatility Index, and PHLX Semiconductor Sector Index.

Category 1. Daily Trading Data

• S&P 500
• An American stock market index based on the market capitalizations of 500 large companies having common stock listed on the NYSE/ NASDAQ
• VIX
• The CBOE Volatility Index: a popular measure of the stock market’s expectation of volatility
• SOX
• The PHLX Semiconductor Sector: an index composed of companies primarily involved in the design, distribution, manufacture, and sale of semiconductors

Other performance measures

1. Allocative efficiency
1. Total surplus (welfare) is my key measure of market performance. Welfare indicates how well the market allocates trades according to underlying private valuations.
2. Liquidity
1. Markets are liquid to the extent they maintain availability of opportunities to trade at prevailing prices.
2. In other words: Liquidity is defined as the ability to exchange an asset for money at a price as close as possible to the equilibrium price
3. Price discover- This reflects how well prices incorporate information.