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We propose a statistical model of differences in beliefs in which heterogeneous investors are represented as different machine learning model specifications. Each investor forms return forecasts from their own specific model using data inputs that are available to all investors. We measure...
Persistent link: https://www.econbiz.de/10014337816
This paper develops textual sentiment measures for China's stock market by extracting the textual tone of 60 million messages posted on a major online investor forum in China from 2008 to 2018. We conduct sentiment extraction by using both conventional dictionary methods based on customized word...
Persistent link: https://www.econbiz.de/10012125620
This paper examines whether momentum drives the disposition effect and vice versa in the US stock market. The results from the analysis of the Fama-Macbethregressions show that the disposition effect drives momentum but not the other way around. Furthermore, we find that this relationship varies...
Persistent link: https://www.econbiz.de/10013184447
This paper proposes a new forecasting framework for the stock market that combines machine learning algorithms with several technical analyses. The paper considers three different algorithms: the Random Forests (RF), the Gradient-boosted Trees (GBT), and the Deep Neural Networks (DNN), and...
Persistent link: https://www.econbiz.de/10014238241
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With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation strategy based on a hybrid machine...
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