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Exploiting short-run predictability
Gomes, Francisco J. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001996442
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Bitcoin Market Return and Volatility Forecasting Using Transaction Network Flow Properties
Yang, Steve Y. - 2015
market variables such as returns and volatility. We find that complexity of Bitcoin transaction network is significantly … correlated with Bitcoin market volatility. More specifically we document that the popularity of Bitcoin gauged from total system … throughput can significantly improve the predictability of Bitcoin market returns and volatility using network flow complexity …
Persistent link: https://www.econbiz.de/10013019043
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Intraday momentum and reversal in Chinese stock market
Chu, Xiaojun; Gu, Zherong; Zhou, Haigang - In: Finance research letters 30 (2019), pp. 83-88
Persistent link: https://www.econbiz.de/10012420230
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Dynamic asset allocation with event risk, transaction costs and predictable returns
Simonato, Jean-Guy - In: Mathematics and financial economics 12 (2018) 4, pp. 561-587
Persistent link: https://www.econbiz.de/10011963881
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Economic significance of predictable returns : the case of emerging Asian countries
Latifa, Fatnassi - In: Journal of business and finance 1 (2013) 2, pp. 75-86
Persistent link: https://www.econbiz.de/10010201770
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Stock returns forecasting with metals : sentiment vs. fundamentals
Jordan, Steven J.; Vivian, Andrew; Wohar, Mark E. - In: The European journal of finance 24 (2018) 4/6, pp. 458-477
Persistent link: https://www.econbiz.de/10012244340
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Do options price predictable patterns in future stock returns? : evidence from accounting anomalies
Schonberger, Bryce; Subramanyam, K. R.; Hong, Hyun A. - 2015 - Draft: August 2015
stock prices. Further analysis suggests that high costs of trading options — implied volatility premiums and transaction …
Persistent link: https://www.econbiz.de/10011807960
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version July 2009
Persistent link: https://www.econbiz.de/10003936746
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Housing price dynamics in time and space : predictability, liquidity and investor returns
Hwang, Min; Quigley, John M. - In: The journal of real estate finance and economics 41 (2010) 1, pp. 3-23
Persistent link: https://www.econbiz.de/10003995285
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...
Persistent link: https://www.econbiz.de/10003961414