Predictive Analytics in Capital Markets

Predictive Analytics in Capital Markets

The paper is a practical application of the random walk model on stock price behaviour. The academic literature has moved beyond this random walk approach and the recent focus is now much more on how to improve the forecasts. Since the performance of the random walk model has been contextual, it is desirable that the model is tested in different contexts. Our model shows good results in the Ind...

Predictive Analytics On Public Data - The Case Of Stock Markets

This work examines the predictive power of public data by aggregating information from multiple online sources. Our sources include microblogging sites like Twitter, online message boards like Yahoo! Finance, and traditional news articles. The subject of prediction are daily stock price movements from Standard & Poor’s 500 index (S&P 500) during a period from June 2011 to November 2011. To fore...

Predictive Analytics in Forecasting

Predictive Analytics

In today's economic climate where budget reductions are common, executives are under pressure to deliver profitable growth. Business leaders must identify and implement the critical items that will enable the enterprise to remain competitive. Methods and techniques long utilized in the actuarial department are being leveraged to improve many areas of the insurance operation. Will these methods ...

Essays in Capital Markets

This thesis consists of three essays in capital markets. The first essay presents a dynamic asset pricing model with heterogeneously informed agents. Unlike previous research, the general case where differential information leads to the problem of "forecasting the forecasts of others" and to non-trivial dynamics of higher order expectations is studied. In particular, it is proved that the model...