Numerous studies have examined trading strategies that seek to exploit price reversal behaviors in the U.S. stock market. The evidence to date suggests that taking a long position in U.S. stocks with negative returns (losers) and a short position in stocks that have positive returns (winners)...

With approximately 900 million observations we conduct, to our knowledge, the largest study ever of intraday stock return predictability using machine learning techniques finding consistent out-of-sample predictability across market, sector, and individual stock returns at various time horizons....

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of...

This paper develops textual sentiment measures for China's stock market by extracting the textual tone of 60 million messages posted on a major online investor forum in China from 2008 to 2018. We conduct sentiment extraction by using both conventional dictionary methods based on customized word...

For stock market predictions, the essence of the problem is usually predicting the magnitude and direction of the stock price movement as accurately as possible. There are different approaches (e.g., econometrics and machine learning) for predicting stock returns. However, it is non-trivial to...

The aim of this paper is to assess the effectiveness and risk in the stock exchange market in Central and Eastern Europe countries (CEE) in view of the largest stock exchanges: NYSE2‑LSE‑HKSE2. The implementation of this objective was based on an analysis of basic stock market indicators and...

This study employs a variety of machine learning models and a wide range of economic and financial variables to enhance the forecasting accuracy of the Korean won-U.S. dollar (KRW/USD) exchange rate and the U.S. and Korean stock market returns. We construct international asset allocation...