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...

The dissertation presents Hybrid Intelligent Decision Support Systems (DSS) for the selection of alternatives (companies, stocks, and company groups) in stock trading under uncertainty. This study proposes a framework including three models using Hybrid Intelligent DSS. The framework aims to optimize trading decisions in the selection of appropriate alternatives and reduce risky decisions. This...

In the presence of transaction costs, it is no longer possible to perfectly replicate the payoff of a European option by trading in the underlying stock. This paper develops a new option hedging strategy based on minimizing the expected cumulative hedging error and additional cost of rebalancing due to proportional transaction costs. We show that the resulting singular stochastic control proble...

Background: The stock exchange, as a regulated financial market, in modern economies reflects their economic development level. The stock market indicates the mood of investors in the development of a country and is an important ingredient for growth. Objectives: This paper aims to introduce an additional statistical tool used to support the decision-making process in stock trading, and it inve...

Accurate stock trend prediction is a difficult job because various intricate and complex factors affect changes in price, trading volume and trends of a stock market. On a macro scale, the factors could be the overall global economic environment, industry trends, individual economic environment (business operation and competitors’ development), the amount of floating capital in the market, etc....

This paper presents a stock trading method by combining the filter rule and the decision tree technique. The filter rule, having been widely used by investors, is used to generate candidate trading points. These points are subsequently clustered and screened by the application of a decision tree algorithm C4.5. Compared to previous literature that applied such a combination technique, this rese...

This study proposes the dispersion in daily net initiated order flow across brokers as a proxy for the level of noise trading in a stock, and applies this proxy to test some basic implications of market microstructure theory. We use data from the Australian Stock Exchange, a computerized limit order market where price, quantity, and broker identity for each incoming order are shown on broker sc...

In the paper, we study the investment on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), which is assumed to be tradable. We apply the gene expression programming (GEP) to mining profitable trading strategies in the training phase. GEP is a good tool for evolving formulas since the logical view of its chromosome is a tree structure and the physical implementation is a linear ...

Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize ma...