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Nguyen, Nguyet - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

regimes and stock prices. In this paper, we introduce the application ofHMMin trading stocks (with S&P 500 index being an … example) based on the stock price predictions. The procedure starts by using four criteria, including the Akaike information … determine an optimal number of states for the HMM. The selected four-state HMM is then used to predict monthly closing prices of …

Persistent link: https://www.econbiz.de/10011883487

Global stock selection with hidden Markov model

Nguyen, Nguyet; Nguyen, Dung - In: Risks : open access journal 9 (2021) 1/9, pp. 1-18

Hidden Markov model (HMM) is a powerful machine-learning method for data regime detection, especially time series data. In this paper, we establish a multi-step procedure for using HMM to select stocks from the global stock market. First, the five important factors of a stock are identified and...

Persistent link: https://www.econbiz.de/10012422925

Analyst's stock views and revision actions

Li, Tao - In: Finance research letters 44 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10014494726

Seven pitfalls of technical analysis

Caporale, Guglielmo Maria; Plastun, Alex - 2023

This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified...

Persistent link: https://www.econbiz.de/10013489574

Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US

Haase, Felix; Neuenkirch, Matthias - 2021 - This Version: January 8, 2021

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

Persistent link: https://www.econbiz.de/10012180543