This study examines statistical regularities among three components of stocks and indices: daytime (trading hour) return, overnight (off-hour session) return, and total (close-toclose) return. Owing to the fact that the Taiwan Stock Exchange (TWSE) has the longest non-trading periods amongmajor markets, the TWSE is selected to explore the correlation among the three components and compare it wi...

One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, por...

Although a lot of the empirical research have studied the relationship between changes of oil price and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the Greater China region (China, Hong Kong, and Taiwan). Therefore, the main goal of this paper is to apply a detail monthly data from 1997/7 to 2008/9 to fill up this ...

The problem of optimal portfolio selection has attracted a great attention in the finance and optimization field. The future stock price should be predicted in an acceptable precision, and a suitable model and criterion for risk and the expected return of the stock portfolio should be proposed in order to solve the optimization problem. In this paper, two new criterions for the risk of stock pr...

In the last decade, there have been advances in machine learning performance various domains, including image classification, natural language processing, and speech recognition. The increase size of training data is essential for improvement these domains. two ways to larger sets are acquiring more original employing effective augmentation techniques. However, stock prediction studies, sizes d...