In this study the ability of artificial neural network (ANN) in forecasting the daily NASDAQ stock exchange rate was investigated. Several feed forward ANNs that were trained by the back propagation algorithm have been assessed. The methodology used in this study considered the short-term...

There is considerable evidence that machine learning algorithms have better predictive abilities than humans in various financial settings. But, the literature has not tested whether these algorithmic predictions are more rational than human predictions. We study the predictions of corporate...

In a novel take on the gradual information diffusion hypothesis of Hong et al. (2007), we examine the predictive role of industries over aggregate stock market volatility. Using high frequency data for U.S. industry indexes and various heterogeneous autoregressive (HAR) type and machine learning...