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Effectiveness of technical analysis indicators over stock return: A Panel Data Approach
SÜMER, Kutluk Kaðan - In: Eurasian Eononometrics, Statistics and Emprical … 1 (2015) 1, pp. 43-56
commercial banking sector in BIST-BANKING index for the period 1-1-2000- 31-12-2013. Technical analysis indicators are generated …
Persistent link: https://www.econbiz.de/10011268636
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Effectiveness of technical analysis indicators over stock return: A Panel Data Approach
SÜMER, Kutluk Kaðan - In: Eurasian Academy Of Sciences Social Sciences Journal 1 (2015) 1, pp. 43-56
commercial banking sector in BIST-BANKING index for the period 1-1-2000- 31-12-2013. Technical analysis indicators are generated …
Persistent link: https://www.econbiz.de/10011266175
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Complexity in Factor Pricing Models
Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - National Bureau of Economic Research - 2023
We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance--in terms of SDF Sharpe ratio and test asset pricing errors--is improving in model parameterization (or "complexity"). Our empirical findings verify the...
Persistent link: https://www.econbiz.de/10014372446
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How and When are High-Frequency Stock Returns Predictable?
Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022
This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...
Persistent link: https://www.econbiz.de/10013362020
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Performance of technical analysis in growth and small cap segments of the US equity market
Shynkevich, Andrei - In: Journal of Banking & Finance 36 (2012) 1, pp. 193-208
A large universe of technical trading rules applied to a set of technology industry and small cap sector portfolios over the 1995–2010 period yields superior predictability after adjusting for data snooping bias in the first half of the sample period and delivers statistically significant...
Persistent link: https://www.econbiz.de/10010582663
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What are the main factors driving behind the MENA countries current account deficit? : A panel logit approach analysis
Guellil, Mohammed Seghir; Hassoun, Salah Eddine Sari; … - In: Revista de métodos cuantitativos para la economía y … 33 (2022), pp. 134-153
The sustained current account deficit in any country has an important implication for policy. If it continues, then it suggests that the regime ought to have no motivation to avoid or to diminish its international debt. In this paper, we test empirically the relationship among current account...
Persistent link: https://www.econbiz.de/10013337861
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Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The condensed research article presents some innovative research results on the venture capital optimal investment portfolio strategies selection in the diffusion-type financial systems in the imperfect highly volatile global capital markets with the incomplete information, which are...
Persistent link: https://www.econbiz.de/10011107583
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Sparse Signals in the Cross-Section of Returns
Chinco, Alex - 2017
How do arbitrageurs find variables that predict returns? If a predictor lasts 30 days or more, then a clever arbitrageur can use his intuition to get the job done. But, what's an arbitrageur supposed to do if a predictor lasts 30 minutes or less? An arbitrageur's intuition is useless if the...
Persistent link: https://www.econbiz.de/10012971759
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Predicting the spread of financial innovations : an epidemiological approach
Hull, Isaiah - 2013
I construct an estimable statistic that predicts whether a financial innovation will spread. The approach embeds the multi-host SIR model from epidemiology within a financial model of correlated securities trade; and takes advantage of the related predictive tools from mathematical epidemiology,...
Persistent link: https://www.econbiz.de/10010202945
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Frontiers in time series and financial econometrics : an overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015
Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial … econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics … Econometrics" is to highlight several areas of research by leading academics in which novel methods have contributed significantly …
Persistent link: https://www.econbiz.de/10010484894