Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who are confident generate higher price and rate of return volatilities than those who are not. We also find that kurtosis and skewness are lower in our ...

OBJECTIVE This study aims to discuss the correlation between daily reported H7N9 cases and stock price indices in China. METHODS Information on daily reported H7N9 cases and stock market sectors indices between February 19, 2013 and March 31, 2014 were collected. A distributed lag non-linear model was used to describe the variation trend for the stock indices. RESULTS The daily reported num...

in this paper, we have estimated the memory of thetehran stock exchange indices. the estimation of fractional differencing parameter is carried out by various methods such as mle, nls, hurst exponent, gph, lo, whittle and wavelet. the estimation results of whittle, wavelet, hurst, and lo methods allow us to conclude that the returns on stock indices (tepix, tedpix, tedix, financial index and in...

Fundamental economic conditions are crucial determinants of equity premia. However, commonly used predictors do not adequately capture the changing nature of economic conditions and hence have limited power in forecasting equity returns. To address the inadequacy, this paper constructs macro indices from large datasets and adaptively chooses optimal indices to predict stock returns. I find that...

In this paper, cointegration relationships among 26 global stock market indices over the periods of sub-prime and European debt crisis and their influence rank are investigated by constructing and analyzing directed and weighted cointegration networks. The obtained results are shown as follows: the crises have changed cointegration relationships among stock market indices, their cointegration r...

In this paper, we investigate how the seemingly chaotic behavior of stock markets could be well represented using neural network, TS fuzzy system and hierarchical TS fuzzy techniques. To demonstrate the different techniques, we considered Nasdaq−100 index of Nasdaq Stock Market and the S&P CNX NIFTY stock index. We analyzed 7 year’s Nasdaq 100 main index values and 4 year’s NIFTY index values. ...

This article investigates the impact of terrorist attacks on global capital markets. We find economic consequences of terrorist attacks spillover through trading partners. When a bigger economy (measured by GDP) is targeted, the spillover is specifically prominent for economically smaller trading partners. Such partners see a -2.5% reduction in national stock indices. Odds for smaller trading p...

At present, there are many technical analyses for prediction in stock market. However, the technical indices are fluctuated with the quantity of stock exchanges. The financial indices are more reliable, nonvolatile and valid compared with the technical indices. In this paper, we propose an original and universal method by using SVM with financial statement analysis for prediction of stocks. We ...