A stock market is a highly complex dynamical system. Stock-price movements are not solely driven by fundamental values but in particular influenced by short term trading behaviour. Chartists use trends to forecast future price directions, whereas fundamentalists estimate stock prices based on dividend payouts or company earnings. Such strategies can similarly be deployed in automatic trading ag...

A number of studies have investigated the predictability of Chinese stock returns with economic variables. Given the newly emerged dataset from the Internet, this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns. The empirical results show that 1) the Search Frequency of Baidu Index (SFBI) can predict next day’s price changes; 2) the stock prices go up...

Internet stock message boards provide individual investors with a new information medium that could have several effects on stock activity. Message boards may provide investors with a new information source on small cap stocks. Message boards may affect the trading and volatility of certain stocks by influencing investors. The impact of message board information may vary according to characteri...

I present a simple model of informed trading in which asset values are derived from imperfectly competitive product markets and private information events occur at individual firms. The model predicts that informed traders may have incentives to make information-based trades in the stocks of competitors, especially when events occur at firms with large market shares. In the context of 759 earni...

Electronic banking (e-banking) has emerged the most popular way for retail banks to provide financial services to private households. Stock trading transformed into e-trading as retail banks created comprehensive web portals for customers to perform financial transactions. Low search costs have sparked fierce price competition. For companies to sustain profitability and retain customers, servic...

The daily stock turning point detection problems are investigated in this study. The Support Vector Regression model has been applied in various forecasting applications and proved to be with stable performances. In this research, SVR has been used to predict the trading signal since it could handle overall information effectively even under the complex environment of stock price variations. Th...

We present an artificial stock market in which simple trading agents enter an asynchronous double auction market to trade in a single stock. Beginning with a population of random trading agents drawing their bid prices from a normal distribution around the current price, we compare the statistical properties of the emergent stock price return distribution to that observed on a real price series...

In recognizing the power of electronic commerce in continuously provided service context, this paper examines personal and situational factors as well as transactional characteristics influencing customers’ use of electronic commerce in stock trading. Empirical data were collected from an intercept field survey of individual customers of two major Korean stock trading brokers. Our results show ...

In this paper we consider the problem of hedging contingent claims on a stock under transaction costs and stochastic volatility. Extensive research has clearly demonstrated that the volatility of most stocks is not constant over time. As small changes of the volatility can have a major impact on the value of contingent claims, hedging strategies should try to eliminate this volatility risk. We ...

Acquisition announcements generate predictable movements in the price of the acquirer’s stock. For example, post-announcement returns are typically negative for high Tobin’s q acquirers, stock transactions, and foreign targets, but positive for private equity-backed private targets. Pre-announcement trading of acquirer’s stock is more likely to be attributable to insider trading when the pre-an...