This study investigates the relationship between operational efficiency and stock performance. The analysis is conducted by building an efficiency-based stock selection strategy and assessing its performance over different investment horizons in a contextual and empirical setting provided by the...

We focus on the stock selection step of the index tracking problem in passive investment management and incorporate constant changes in the dynamics of markets into the decision. We propose an approach, using machine learning techniques, which analyzes the performance of the selection methods...

We develop a simple agent-based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets. Speculators’ strategy/market selections are repeated at each time step and depend on predisposition effects, herding...