Our objective is to develop a methodology to detect regions in risk-return space where the out-of-sample performance of portfolios is consistent with their in-sample performance. We use the Berkowitz statistic to evaluate the accuracy of the density forecast, derived from in-sample portfolio returns, of out-of-sample portfolio returns. Defined by its coordinates in risk-return space, a portfoli...

Much research has demonstrated the existence of patterns in high-frequency equity returns, return volatility, bid-ask spreads and trading volume. In this paper, we employ a new test for detecting periodicities based on a signal coherence function. The technique is applied to the returns, bid-ask spreads, and trading volume of thirty stocks traded on the NYSE. We are able to confirm previous fin...

The relationship between stock return volatility and trading volume is analysed by using the modified mixture model (MMM) framework proposed by Andersen (1996). This theory postulates that price changes and volumes are driven by a common latent information process, which is commonly interpreted as the volatility. Using GMM estimation Andersen finds that the persistence in this latent process fa...

We use a class of stochastic volatility models with multiple latent factors to investigate the joint dynamics of return, trading volume, and open interest (a proxy for market depth) in currency futures markets. In accordance with theory, the empirical evidence indicates that there is more than one latent factor affecting these three variables. However, the evidence is ambivalent on the choice b...

in this study, a prediction model based on support vector machines (svm) improved by introducing a volume weighted penalty function to the model was introduced to increase the accuracy of forecasting short term trends on the stock market to develop the optimal trading strategy. along with vw-svm classifier, a hybrid feature selection method was used that consisted of f-score as the filter part ...

This paper examines the effect of temporarily suspending the trading of exchange-listed individual stocks. We evaluate whether regulatory authorities can successfully use the mechanism of trading suspension in forcing companies to disclose new and material information to the capital market. Previous studies on trading suspensions mainly concentrate on North-American stock markets and find no co...

Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial derivatives. The purpose of this special issue on “Risk Management and Financial Derivatives” is to highlight some areas in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of r...

50 Most Active Stocks by Trading Value were traded in Indonesian Stock Exchange according to trading transaction value. The value of those stocks was high and volume so big that it has optimal return for investor. performance firms will determine the fluctuation stock price can affect return. purpose this research know influence Return on Equity (ROE), Asset (ROA), Debt Ratio (DER) Earning per ...

This study tests whether Fidelity Management and Research Company possesses private information when it makes large trades. We use a conditional performance measure inspired by Admati and Ross (1985) and by Grinblatt and Titman (1993) that does not require a benchmark used in risk-adjusted measures. It conditions the performance of each trade on public information, measured by the market price ...

Investors use different approaches to select optimal portfolio. so, Optimal investment choices according to return can be interpreted in different models. The traditional approach to allocate portfolio selection called a mean - variance explains. Another approach is Markov chain. Markov chain is a random process without memory. This means that the conditional probability distribution of the nex...