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Forecast in Capital Markets
Ledenyov, Dimitri - 2016
Persistent link: https://www.econbiz.de/10012987861
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Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better than High P/E Models?
Lleo, Sebastien - 2015
In this paper, we extend the literature on crash prediction models in three main ways. First, we explicitly relate crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash prediction models. Finally, we propose a...
Persistent link: https://www.econbiz.de/10013035325
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Predictability in securities price formation: differences between developed and emerging markets
Camilleri, Silvio John; Vassallo, Semiramis; Bai, Ye - In: Journal of capital markets studies 4 (2020) 2, pp. 146-166
Purpose This paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample. Design/methodology/approach The authors analyse security returns for traces of predictability or non-randomness...
Persistent link: https://www.econbiz.de/10012395371
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Non-Parametric Prediction of the Mid-Price Dynamics in a Limit Order Book
Palguna, Deepan - 2013
Many securities markets are organized as double auctions where each incoming limit order --- i.e., an order to buy or sell at a specific price --- is stored in a data structure called the limit order book. A trade happens whenever a market order arrives --- i.e., an order to buy or sell at the...
Persistent link: https://www.econbiz.de/10013091404
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Modelling and trading the English stock market with new forecasting techniques
Karathanasopoulos, Andreas - In: Economics and Business Letters : EBL 5 (2016) 2, pp. 50-57
The motivation of this paper is to introduce a short term adaptive model (Partial Swarm Optimizer combined with linear and nonlinear models when applied to the task of forecasting and trading the daily closing returns of the FTSE100 exchange traded funds (ETFs). This is done by benchmarking its...
Persistent link: https://www.econbiz.de/10011573208
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Aggregate Earnings and Expected Stock Returns in Emerging Markets
Demirtas, K. Ozgur - 2012
This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing...
Persistent link: https://www.econbiz.de/10013115711
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A Tale of Two Indexes : Predicting Equity Market Downturns in China
Lleo, Sebastien - 2019
Predicting stock market crashes and corrections is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly on mature financial markets. In this paper, we investigate whether fundamental crash predictors, the price-to-earnings ratio, the...
Persistent link: https://www.econbiz.de/10012903786
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Can Warren Buffett Forecast Equity Market Corrections?
Lleo, Sebastien - 2017
Warren Buffett suggested that the ratio of the market value of all publicly traded stocks to the Gross National Product could identify potential overvaluations and undervaluations in the US equity market. We investigate whether this ratio is a statistically significant predictor of equity market...
Persistent link: https://www.econbiz.de/10012971424
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …
Persistent link: https://www.econbiz.de/10013013057
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Liquidity, overpricing, and the tactics of informed traders
Borghesi, Richard - In: Journal of economics and finance 41 (2017) 4, pp. 701-713
Persistent link: https://www.econbiz.de/10011802209