profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that … trading robot approach is then used to test two trading strategies aimed at exploiting the detected anomalies to make abnormal … profits. The results suggest that a strategy based on counter-movements after overreactions does not generate profits in the …

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and … prospect theory. This paper also suggests IVOL opposite strategy for investors to generate significant returns by collecting …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

trading simulation approach. The results suggest that hourly returns during the day of positive/negative overreactions are … significantly higher/lower than those during the average positive/negative day. Overreactions can usually be detected before the day … overreactions and ETHUSD negative overreactions) a contrarian effect is detected instead …

Forecasts of stock market volatility is an important input for market participants in measuring and managing investment … Machine Learning methods, and specifically Artificial Neural Network (ANN) models to forecast volatility. The ANN models are …

This paper explores the frequency of price overreactions in the Ukrainian stock market by focusing on the PFTS Index …) for the period of 2013–2015. Using static approach to detect overreactions, a number of hypotheses are tested: the … frequency of price overreactions is informative about crisis events in the economy (H1), can be used for price prediction …

This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial … Index over the period 1990-2017. It uses two different methods (static and dynamic) to detect overreactions and then carries …: whether or not the frequency of overreactions varies over time (H1), is informative about crises (H2) and/or price movements …

This paper explores price overreactions in the FOREX by using both daily and intraday data on the EURUSD, USDJPY … detect overreactions and then various statistical methods, including cumulative abnormal returns analysis, to test the … the detected anomalies, which can be seen as evidence of market inefficiency …