Equipped with financial market data labeled with DTW and Pattern Rule label showing the likelihood of corresponding sequences as specific financial pattern, a financial pattern prediction model can be developed by training the labeled data, to predict the probability of pattern formation in the...

Risk factors and systematic factor strategies are fast becoming an integral part of the global asset management landscape. In this report, we provide an introduction to, and critique of, the factor investing paradigm in a South African setting. We initially discuss the general factor...

This paper tests the relationship between above market returns and beta, size, leverage, book-to-market equity and earning-price ratios for Bucharest Stock Exchange common stocks. Results from cross-sectional regressions document that both book-to-market equity and earning-price ratios are...

This paper examines the ability of equity open interests from options markets to forecast underlying stock price for the maturity date and to examine if the forecast prices can be used as a guide to design trading rules. GMM estimation method is used on a set of widely held stocks from US...

Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature: many studies focus solely on measuring accuracy. Methods...

The particular concern of this paper is the construction of a confidence region with pointwise asymptotically correct size for the true value of a parameter of interest based on the generalized Anderson-Rubin (GAR) statistic when the moment variance matrix is singular. The large sample behaviour...

Due to their indeterminacies, static and dynamic factor models require identifying assumptions to guarantee uniqueness of the parameter estimates. The indeterminacy of the parameter estimates with respect to orthogonal transformations is known as the rotation problem. The typical strategy in...