Linear relation is valuable in rule discovery of stocks, such as ”if stock X goes up 1, stock Y will go down 3”, etc. The traditional linear regression models the linear relation of two sequences perfectly. However, if user asks ”please cluster the stocks in the NASDAQ market into groups where sequences have strong linear relationship with each other”, it is prohibitively expensive to compare s...

In previous works ([8], [12]), it has already been showed that Twitter and social media in general give an interesting additional predictive power to the models that take them into account. However, the contribution of social media is relatively small on a daily basis, because of the speed and the increasing efficiency of the stock markets. It has been decided then to deal with intraday prices ...

This research provides a post-decimals analysis of market order execution quality in U.S. equity markets, using order-based data reported in accordance with SEC Rule 11Ac1-5. These data facilitate a comprehensive investigation of multiple dimensions of execution quality, including measures of costs and speed, for large samples of common stocks on Nasdaq and the NYSE. The evidence is consistent ...

Available online 18 March 2008 This paper compares trading and non-trading mechanisms for price discovery during the Nasdaq pre-open and examines whether prices discovered though non-trading mechanisms are less efficient or reveal less information than prices discovered through trading. As Nasdaq pre-open trading volume increased, the opening price became more efficient and price discovery shif...

This paper compares the accuracy of three hybrid intelligent systems in forecasting ten international stock market indices; namely the CAC40, DAX, FTSE, Hang Seng, KOSPI, NASDAQ, NIKKEI, S&P500, Taiwan stock market price index, and the Canadian TSE. In particular, genetic algorithms (GA) are used to optimize the topology and parameters of the adaptive time delay neural networks (ATNN) and the t...

Two major changes occurred on the Nasdaq Stock Market during 1997: the implementation of the SEC’s Order Handling Rules, and a reduction in the quotation ticksize for many Nasdaq stocks to one-sixteenth from one-eighth. This paper presents a detailed empirical analysis of the impact of these changes on spreads, depth, use of Electronic Communications Networks, and market making positions. Of sp...