This paper proposes an heterogenous asset pricing model in which different classes of investors coexist and evolve, switching among strategies over time according to a fitness measure. In the presence of boundedly rational agents, with biased forecasts and trend following rules, rational or...

Predicting the stock price has always been a topic of great interest to both investors and researchers. Machine learning algorithms combined with massive volumes of financial data have proven to be useful tools for stock prediction. However, as the efficient market hypothesis says, market cannot...

The stock market is notorious for its intense uncertainty and instability, and researchers and investors alike often try a detailed and useful way to direct their stock trading. Long short-term memory (LSTM) neural networks are a subtype of Recurrent neural networks (RNNs) having significant...

This paper addresses the problem of predicting the stock price using the high frequency data based on a machine learning approach. We study two things in this paper (1) comparison of the prediction performance among selected function classes with given look-back parameter in terms of the...

Which market has leading informational advantage: stocks or options? Using large set of stock and option characteristics, and machine learning, we provide a comprehensive analysis of which characteristics are the first order importance predictors of options and stock returns. First, we find that...

Stock price forecasting is a popular and important topic in financial and academic studies. Share market is an volatile place for predicting since there are no significant rules to estimate or predict the price of a share in the share market. Many methods like technical analysis, fundamental...

Stock price forecasting has always been a subject of research given its importance in the macroeconomics of a nation. It is tough to write down the future values of stocks using a specific set of equations. Numerous factors come into the picture when we talk about predicting the future price of...