We consider the optimal intertemporal consumption and investment policy of a constant absolute risk aversion (CARA) investor who faces fixed and proportional transaction costs when trading multiple risky assets. We show that when asset returns are uncorrelated, the optimal investment policy is to keep the dollar amount invested in each risky asset between two constant levels and upon reaching e...

Genetic network programming (GNP) as an evolutionary computation method has been used for stock trading recently. Former researches confirm the efficiency of trading rules which are created by GNP. In this paper, GNP has been applied for stock portfolio optimization by generating risk-adjusted trading rules. There are two main novelties in this paper: 1) we use conditional Sharp ratio as a risk...

-It has been a stock trader’s dream to do stock trading by switching from one stock to another while buying at bottoms and selling at tops. This paper investigates the effectiveness and the practicability of such a trading model. For a learning system, nothing is more influential than the data to learn. Any data, whether it is in-sample or out-of-sample, is intrinsically particular. It is typic...

This paper investigates the use of influence from foreign stock markets (intermarket influence) to predict the trading signals, buy, hold and sell, of the of a given stock market. Australian All Ordinary Index was selected as the stock market whose trading signals to be predicted. Influence is taken into account as a set of input variables for prediction. Two types of input variables were consi...

This paper aims to apply the neuro-fuzzy technique to refine the Stochastics technical trading rules to forecast the Asian stock market. Essentially in this hybrid technique, fuzzy logic plays the role to formulate the relationship among the Stochastics indicators and stock price changes by using knowledge base. Neural networking is used to tune the formulated knowledge base based on historical...

A KADS based requirement analysis for the management of stock trading portfolios is presented. This provides a theoretical foundation for a stock trading system. This system is designed around portfolio management tasks that include eliciting user profiles, collecting information on the user’s portfolio position, monitoring the environment on behalf of the user, and making decision suggestions ...

Real market institutions, stock and commodity exchanges for example, do not occur in isolation. Company stock is frequently listed on several stock exchanges, and futures exchanges make it possible for dealers in a particular commodity to offset their risks by trading options in that commodity. While there has been extensive research into agent-based trading in individual markets, there is litt...

In investigating the effects of algorithmic trading on stock market liquidity and commonality in liquidity in different market conditions in an electronic limit order market, we find algorithmic trading increases stock liquidity by narrowing quoted and effective bid–ask spreads. Furthermore, algorithmic trading decreases commonality in liquidity; this finding is robust across a variety of liqui...

This article presents a discussion of stock market liquidity and its relation to financial crises. It begins by defining liquidity and explaining possible measures of liquidity and then explores factors influencing liquidity. It also analyzes the liquidity among 11 Asian countries. The empirical findings based on the time-series analysis show a sharp decline in stock liquidity during both the 1...