  By monitoring the time evolution of the most liquid Futures contracts traded
globally as acquired using the Bloomberg API from 03 January 2000 until 15
December 2014 we were able to forecast the S&P 500 index beating the Buy and
Hold trading strategy. Our approach is based on convolution computations of 42
of the most liquid Futures contracts of four basic financial asset classes,
namely, equities, bonds, commodities and foreign exchange. These key assets
were selected on the basis of the global GDP ranking across countries worldwide
according to the lists published by the International Monetary Fund (IMF,
Report for Selected Country Groups and Subjects, 2015). The main hypothesis is
that the shifts between the asset classes are smooth and are shaped by slow
dynamics as trading decisions are shaped by several constraints associated with
the portfolios allocation, as well as rules restrictions imposed by state
financial authorities. This hypothesis is grounded on recent research based on
the added value generated by diversification targets of market participants
specialized on active asset management, who try to efficiently and smoothly
navigate the market's volatility.
