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Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas

Weiß, Gregor; Supper, Hendrik - In: Journal of banking & finance 37 (2013) 9, pp. 3334-3350

Persistent link: https://www.econbiz.de/10010126429

Fourier analysis for stock price forecasting : assumption and evidence

Stádník, Bohumil; Raudeliūnienė, Jurgita; … - In: Journal of business economics and management 17 (2016) 3, pp. 365-380

Persistent link: https://www.econbiz.de/10011517950

Using neural networks to enhance technical trading rule returns : a case with KLCI

Jacinta Chan Phooi M'ng; Azmin Azliza Aziz - In: Athens journal of business & economics : AJBE 2 (2016) 1, pp. 63-70

Persistent link: https://www.econbiz.de/10011565193

Technical trading rules in Australian financial markets

Park, Jung Soo; Heaton, Christopher - In: International journal of economics and finance 6 (2014) 10, pp. 67-75

Persistent link: https://www.econbiz.de/10010421595

Return predictability and the "wisdom of crowds" : genetic Programming trading algorithms, the Marginal Trader Hypothesis and the Hayek Hypothesis

Manahov, Viktor; Hudson, Robert; Hoque, Hafiz - In: Journal of international financial markets, … 37 (2015), pp. 85-98

Persistent link: https://www.econbiz.de/10011475040

Trading on volume

Cassidy, Donald - 2002

Persistent link: https://www.econbiz.de/10001574377

GP forecasts of stock prices for profitable trading

Kaboudan, Mahmoud A. - In: Evolutionary computation in economics and finance : …, (pp. 359-381). 2002

Persistent link: https://www.econbiz.de/10001677457

Predictability of the simple technical trading rules : an out-of-sample test

Fang, Jiali; Jacobsen, Ben; Qin, Yafeng - In: Review of financial economics : RFE 23 (2014) 1, pp. 30-45

Persistent link: https://www.econbiz.de/10010442638

Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity

Avellaneda, Marco - 2012

Bid and ask sizes at the top of the order book provide information on short-term price moves. Drawing from classical descriptions of the order book in terms of queues and order-arrival rates (Smith et al (2003)), we consider a diffusion model for the evolution of the best bid/ask queues. We...

Persistent link: https://www.econbiz.de/10013115602

Price Jump Prediction in Limit Order Book

Zheng, Ban - 2012

future price jump. In order to get rid of the intraday data seasonality, the analysis is based on two separated datasets …: morning dataset and afternoon dataset. Based on an analysis on forty largest French stocks of CAC40, we nd that trade sign and …

Persistent link: https://www.econbiz.de/10013108794

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