We construct new features based on order book data and separate them into three groups, e.g., time-insensitive features, time-sensitive features and cointegration features. For time-insensitive features, we applied serval transformation on imbalance in different levels, and some other features...

Beta-sorted portfolios—portfolios comprised of assets with similar covariation to selected risk factors—are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...

Due to the highly voluminous, heterogeneous, and unstructured nature of global business news streaming at a fast pace, it has become increasingly difficult for marketing executives, corporate communications managers, and market analysts to make sense and track news media stories addressing the...

This paper investigates the Chinese mainland Stock Exchanges and their following interconnecting features: savers' attitude towards stock investments, investors' trading behaviour and stock returns explanations. We evaluate the effectiveness of the recent efforts made by the Chinese authorities...

In finance, decision making and choice requires that we assume that asset prices tend to trend. This assumption also logically enables us to construct exits to limit losses and protect capital. But investors have good reason to be uneasy regarding the potential for significant loss when using a...

We propose a novel methodology to characterize the investor decision making process. By drawing logical paths in a structural equation model (SEM) framework, we uncover the role of a latent financial risk index that is simultaneously shaping the dynamics of different financial asset prices. Our...

We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general...

We investigate the concept of network momentum, a novel trading signal derived from momentum spillover across assets. Initially observed within the confines of pairwise economic and fundamental ties, such as the stock-bond connection of the same company and stocks linked through supply-demand...

Many studies on mutual funds have demonstrated the existence of herding behavior and positive feedback trading. However, most research has not examined the characteristics of herding behavior, but simply attempted to determine if herding behavior exists. These studies fail to probe into the...

Investigating stockholder consumption growth is critical in asset pricing studies, as preference and risk averse of stockholders differ from that of average households. The disagreement among households about the macroeconomic uncertainty leads to their heterogeneous stock market participation...