The use of intelligent systems for stock market predictions has been widely established. In this paper, we investigate how the seemingly chaotic behavior of stock markets could be well represented using several connectionist paradigms and soft computing techniques. To demonstrate the different techniques, we considered Nasdaq-100 index of Nasdaq Stock Market and the S&P CNX NIFTY stock index. W...

We show that estimates of adverse selection in the bid-ask spread obtained using methodologies based on Glosten (1987) can be expressed as a weighted average of adverse selection calculated using continuations (successive trades in the same direction) and reversals (successive trades in opposite directions). For example, the methodology of George, Kaul, and Nimalendran (1991) implicitly exclude...

We present a model of Nasdaq that includes the two ways in which marketmakers compete for order f low: quotes and direct payments. Brokers in our model can execute small trades through a computerized system, preferencing arrangements with marketmakers, or vertical integration into market making. The comparative statics in our model differ from those of the traditional model of dealer markets, w...

and others for their valuable comments and suggestions. We thank Paula Lozar for editing help. We acknowledge Nasdaq s financial support in working on this project. Usual disclaimer applies.

We examine the effect of patenting on the survival prospects of 356 firms that made an IPO on the NASDAQ at the height of the stock market bubble of the late 1990s. By March 2005, almost 2/3 had delisted from the exchange either though apparent bankruptcy or by being acquired by another firm. Almost 1/3 of these firms obtained, or attempted to obtain, at least one US patent. Controlling for oth...

The Nasdaq Composite fell another ≈ 10% on Friday the 14’th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq Composite at 3321 corresponds to a total loss of over 35% since its all-time high of 5133 on the 10’th of March 2000. Similarities to the speculative bubble preceding the infamous crash of October 1929 are qui...

Data Mining (DM) is a relatively recent technology that is employed in inferring useful knowledge that can be put to use from a vast amount of data. This paper presents the data mining processes applied to the seemingly chaotic behavior of stock markets which could be well represented using the enhance GMDH, and we compared its results with published results using neural network, TS fuzzy syste...

There is a little doubt in public mind that the dot-com boom on Nasdaq in the end of the 90s represented a stock market bubble. Indeed, major violations of rationality were observed. For instance, some dot-coms, which terminated their business still held positive market value. Market cap of dot-coms, which were parts of established companies sometimes exceeded market caps of their corporate par...