In this study, we utilize the genetic algorithm (GA) to select high quality stocks with investment value. Given the fundamental financial and price information of stocks trading, we attempt to use GA to identify stocks that are likely to outperform the market by having excess returns. To evaluate the efficiency of the GA for stock selection, the return of equally weighted portfolio formed by th...

Article history: Received 31 July 2008 Received in revised form 27 July 2009 Accepted 29 April 2010 Available online 16 May 2010 Complex networks are constructed to study correlations between the closing prices for all US stocks that were traded over two periods of time (from July 2005 to August 2007; and from June 2007 toMay 2009). The nodes are the stocks, and the connections are determined b...

Recent studies in financial markets suggest that technical analysis can be a very useful tool in predicting the trend. Trading systems are widely used for market assessment. This paper employs a genetic algorithm to evolve an optimized stock market trading system. Our proposed system can decide a trading strategy for each day and produce a high profit for each stock. Our decision-making model i...

In this paper we study the structural variation of the network formed by connecting Standard & Poor’s 500 (S&P500) stocks whose closing prices (or price returns) are highly correlated. Specifically we consider S&P500 stocks that were traded from January 1, 2000 to December 31, 2004, and construct complex networks based on cross correlation between the time series of the closing prices (or price...

We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibits size-dependent non-universal long memory and multifractal nature. No crossover in the power-law dependence of the detrended fluctuation functions is observed. Our results show that the intraday pattern in t...

We examine the impact of institutional trading on stock resiliency during the financial crisis of 2007–2009. We show that buy-side institutions have different exposure to liquidity factors based on their trading style. Liquidity supplying institutions absorb the long-term order imbalances in the market and are critical to recovery patterns after a liquidity shock. We show that these liquidity s...

The electronic limit-order trading system have been sweeping the exchanges around the globe since last decade. This paper studies a case of the transition, which is a group of less-liquid stocks moving to SETS on the London Stock Exchange. The evidence reveals that the liquidity of those stocks substantially drops after the move.

Are Stock Returns Different over Weekends? A Jump Diffusion Analysis of the " Weekend Effect " T he distribution of returns on common stocks is, arguably, one of the most widely studied financial market characteristics. Among the questions addressed by these studies are the following: Is the return on common stocks normally distributed, as much finance theory assumes? How many stocks should be ...

Although the understanding of and motivation behind individual trading behavior is an important puzzle in finance, little is known about the connection between an investor's portfolio structure and her trading behavior in practice. In this paper, we investigate the relation between what stocks investors hold, and what stocks they buy, and show that investors with similar portfolio structures to...