Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades, we show that the underlying point process is essentially nonMarkovian. A detailed analysis of all trades in the EESR stock on the Moscow International Currency Exchange in the period J...

While explicitly assuming that stock price conveys valuable information to the management, we show that the value loss from diversification is a function of the stock price informativeness. More informed stock trading leads to a more efficient investment and a smaller diversification discount. © 2007 Elsevier B.V. All rights reserved.

The paper presents results of computer-assisted portfolio management simulation based on using a DEACascor mathematical model. The model uses the Data Envelopment Analysis (DEA) ratio as a neuron with memory and combines it with Cascade Correlation Neural Network (Cascor) to forecast stock prices. The model is designed for using in high-frequency stock trading. It utilizes ability of DEA to con...

We examine stock market volatility before and after the introduction of equity index futures trading in twenty-five countries, using various models that account for asynchronous data, conditional heteroskedasticity, asymmetric volatility responses, and the joint dynamics of each country’s index with the world market portfolio. We find that futures trading is related to an increase in conditiona...

The Santa Fe Arti cial Stock Market consists of a central computational market and a number of arti cially intelligent agents The agents choose be tween investing in a stock and leaving their money in the bank which pays a xed interest rate The stock pays a stochastic dividend and has a price which uc tuates according to agent demand The agents make their investment decisions by attempting to f...

We investigate the collective behaviors of short-selling and margin-trading between Chinese stocks and their impacts on the co-movements of stock returns by cross-correlation and partial correlation analyses.We find that the collective behaviors ofmargin-trading are largely attributed to the index cohesive force, while those of short-selling are mainly due to some direct interactions between st...

a r t i c l e i n f o We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that, counter-intuitively, liquidity rather than illiquidity, as a stock characteristic ...

The technical analysis and machine learning have been integrated in stock trading signal forecasting. And it has been proved that there are some weaknesses in technical analysis because of the complex environment in the stock market. In our prediction system, web news media sentiment analysis is regarded as a supplementary way to cover the shortage of technical analysis. It is considered to bri...

Predicting stock price change rates for providing valuable information to investors is a challenging task. Individual participants may express their opinions in social network service (SNS) before or after their transactions in the market; we hypothesize that stock price change rate is better predicted by a function of social network service activities and technical indicators than by a functio...

In the presence of asymmetric information, stock trading is particularly affected when market participants are prohibited from short selling. Although insiders privy to negative information may not exploit this information by selling if they do not own the stock, the market maker can deduce the occurrence of bad news by observing the trading patterns. Prices are shown to rise on high volume aft...