In this study we propose a short-term Forex trading strategy that uses the principles of technical analysis to create buy or sell signals based on data derived from fundamental news. Short and long term sentiment inflection points are captured by consulting a set of sentiment indexes that...

Whereas the callable-bond market used to emphasize primarily public debt - Government Agencies, and both investment grade and non-investment corporate debt - that has changed dramatically over the past twenty years, in part due to the low prevailing rates of interest as well as some systematic...

In this paper we develop an approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of the historical data of a portfolio assets. Our approach close but it does...

A Micro-Founded Gordon Asset Pricing Model (MF-GAPM) is developed that allows calculation of the current E/P of an equity using reported data. In the original Gordon Model, the discounting is done assuming constant growth and a constant discount rate, with the simple result E/P = r - g where r...

We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...

It is well established that value stocks outperform glamour stocks, yet considerable debate exists about whether the return differential reflects compensation for risk or mispricing. Under mispricing explanations, prices of glamour (value) firms reflect systematically optimistic (pessimistic)...