Predictable Markets A News Driven Model Of The Stock Market
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Predictable Markets A News Driven Model Of The Stock Market
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Author : Maxim Gusev
language : en
Publisher:
Release Date : 2015
Predictable Markets A News Driven Model Of The Stock Market written by Maxim Gusev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market dynamics which we study both empirically and theoretically. We demonstrate that this model replicates observed market behavior on all relevant timescales (from days to years) reasonably well. Using the model, we obtain and discuss a number of results that pose implications for current market theory and offer potential practical applications.
Forecasting Stock Market Returns Over Multiple Time Horizons
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Author : Dimitri Kroujiline
language : en
Publisher:
Release Date : 2016
Forecasting Stock Market Returns Over Multiple Time Horizons written by Dimitri Kroujiline and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic, agent-based market model developed in Gusev et al. (2015). This heterogeneous framework enables us to capture dynamics at multiple timescales, expanding the model's applications and improving precision. We study the heterogeneous model theoretically and empirically to highlight essential mechanisms underlying certain market behaviors, such as transitions between bull- and bear markets and the self-similar behavior of price changes. Most importantly, we apply this model to show that the stock market is nearly efficient on intraday timescales, adjusting quickly to incoming news, but becomes inefficient on longer timescales, where news may have a long-lasting nonlinear impact on dynamics, attributable to a feedback mechanism acting over these horizons. Then, using the model, we design algorithmic strategies that utilize news flow, quantified and measured, as the only input to trade on market return forecasts over multiple horizons, from days to months. The backtested results suggest that the return is predictable to the extent that successful trading strategies can be constructed to harness this predictability.
The Stock Market Is Predictable
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Author : Francis Yee
language : en
Publisher: Fhy Systems, LLC
Release Date : 2014-04-21
The Stock Market Is Predictable written by Francis Yee and has been published by Fhy Systems, LLC this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-04-21 with Exchange traded funds categories.
The Stock Market is Predictable: Exploit Proven Seasonal Patterns for Higher Returns details steps an investor can take in order to take advantage of predictable patterns. These patterns are proven by academic research through many published studies. Over one hundred years of historical data collected by the oldest and most trusted stock trading almanac support the fact that predictable seasonal patterns exist in the stock market. The book describes how to use four simple and easy-to-understand steps at two strategic periods in the calendar to profit from proven seasonal patterns when stock prices rise and when prices fall. By modifying a simple investing technique, positive returns from the stock market will be achieved 70-80% of the time over a sustained investing period. Learn the simple steps and when to use them to earn greater returns on your investments.
Predictability Of Stock Market Prices
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Author : Clive William John Granger
language : en
Publisher:
Release Date : 1970
Predictability Of Stock Market Prices written by Clive William John Granger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1970 with Random walks (Mathematics). categories.
Stock Market Crashes
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Author : William T. Ziemba
language : en
Publisher:
Release Date : 2017
Stock Market Crashes written by William T. Ziemba and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Financial crises categories.
Stock Market Modeling And Forecasting
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Author : Xiaolian Zheng
language : en
Publisher: Springer
Release Date : 2013-04-05
Stock Market Modeling And Forecasting written by Xiaolian Zheng and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-05 with Technology & Engineering categories.
Stock Market Modeling and Forecasting translates experience in system adaptation gained in an engineering context to the modeling of financial markets with a view to improving the capture and understanding of market dynamics. The modeling process is considered as identifying a dynamic system in which a real stock market is treated as an unknown plant and the identification model proposed is tuned by feedback of the matching error. Like a physical system, a financial market exhibits fast and slow dynamics corresponding to external (such as company value and profitability) and internal forces (such as investor sentiment and commodity prices) respectively. The framework presented here, consisting of an internal model and an adaptive filter, is successful at considering both fast and slow market dynamics. A double selection method is efficacious in identifying input factors influential in market movements, revealing them to be both frequency- and market-dependent. The authors present work on both developed and developing markets in the shape of the US, Hong Kong, Chinese and Singaporean stock markets. Results from all these sources demonstrate the efficiency of the model framework in identifying significant influences and the quality of its predictive ability; promising results are also obtained by applying the model framework to the forecasting of major market-turning periods. Having shown that system-theoretic ideas can form the core of a novel and effective basis for stock market analysis, the book is completed by an indication of possible and likely future expansions of the research in this area.
The Good The Bad And The Ambiguous
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Author : John Zhou
language : en
Publisher:
Release Date : 2015
The Good The Bad And The Ambiguous written by John Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Using a representative agent model in which the investor is averse to ambiguity (Knightian uncertainty) and sees an ambiguous piece of news about the fundamental value of a risky asset, I show a number of predictions for the dynamics of stocks around news: Stocks respond more strongly to bad news than to good news, respond positively to neutral news, and increase on average through news. In times of high ambiguity, the magnitudes of each effect is larger, and the volatility of stocks around news changes in a predictable manner as well. I provide empirical evidence consistent with the model by analyzing the high-frequency behavior of the aggregate stock market around macroeconomic news announcements from November, 1997 to March, 2014. The model helps to understand features of the data that challenge existing frameworks; e.g., the findings that the stock market reacts especially strongly to bad news versus good news during crisis periods and that about 1/3 of equity returns in the 17 year sample accrues in the 10 minutes around the release of macroeconomic data. In addition to providing evidence for the role of ambiguity in financial markets generally and in how financial assets reflect macroeconomic shocks specifically, the empirical results also have implications for the behavior of investors. Investors treat bad news as more relevant in bad times than in good times but treat good news the same in good and bad times.
Predict Market Swings With Technical Analysis
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Author : Michael McDonald
language : en
Publisher: Wiley
Release Date : 2002-03-26
Predict Market Swings With Technical Analysis written by Michael McDonald and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-03-26 with Business & Economics categories.
A fresh perspective on predicting the market The experience of Wall Street investment manager and analyst Michael McDonald offers a new perspective on how to navigate the turbulent ups and downs of the markets. His innovative approach to the stock market teaches investors how to use new investment strategies intended to replace the "buy and hold forever" strategies of yesterday. McDonald discusses what a "trading range" market is-a roller-coaster ride in which the market will neither gain nor lose much ground-and guides readers through this market with his proven investment strategies. This book provides an understandable way to make sense of the unpredictable stock market, taking into account more complex theories, including chaos and contrarian approaches. Along with his expert advice, McDonald presents four investing paradoxes that will help investors make smarter decisions now and predict where the market is heading, using his proven theories.
Trading Against The Crowd
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Author : John F. Summa
language : en
Publisher: Wiley
Release Date : 2004-10-18
Trading Against The Crowd written by John F. Summa and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-10-18 with Business & Economics categories.
Efficient market theorists contend that markets are random and thus not predictable. With the publication of Trading Against theCrowd, however, noted author, economist, and professional trader John Summa convincingly shows that investor sentiment can be incorporated into profitable stock and stock market trading systems. In this groundbreaking book, Summa explains how to use popular gauges of crowd psychology, such as put/call ratios, option-implied volatility, short sales, investor surveys, and advisory opinion to trade against, or contrary to, prevailing market sentiment. He also makes compelling arguments against the efficient markets hypothesis with the presentation of his own quantitative weekly bear and bull news-flow intensity indices, which he builds from news scans. This data series, and other popular measures of crowd psychology, are processed through custom indicators that are programmed into profitable trading systems, such as Squeeze Play I & II, Tsunami Sentiment Wave, and the Fourth Estate. Trading Against the Crowd is the first book to provide a comprehensive assessment of investor crowd psychology, offering valuable market timing tools and trading techniques, including: MetaStock and Trade Station system and custom indicator code; comparative statistical studies of CBOE, OEX, and equity-only put/call ratios; straightforward instructions for combining price triggers with sentiment indicators; a practical guide to understanding put/call ratios, short sales, investor surveys, newsletter opinion, and stock market news-flow intensity; how to use LEAP options as trading vehicles to avoid use of stop loss orders; use of put/call ratios for trading the Treasury bond futures market; and test results and evaluation of trading system performance. Many of today’s professional money managers rely on investor sentiment for improved market timing. They know that at extremes of market sentiment, markets tend to be the most predictable.Trading Against the Crowd shows how you can begin to profit from these short- to medium-term sentiment waves generated by the actions of the speculative crowd. Put into practice powerful sentiment data using thoroughly back-tested trading systems, and rise above the herd mentality of the investor crowd, where potentially large profits await.
Beast On Wall Street
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Author : Robert A. Haugen
language : en
Publisher: Pearson
Release Date : 1999
Beast On Wall Street written by Robert A. Haugen and has been published by Pearson this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.