Synopsys, Inc. (NASDAQ: SNPS), a world leader in semiconductor design software, today announced that Applied Micro Circuits Corp. (AMCC) (NASDAQ: AMCC), a global leader in network and embedded PowerPC processing, optical transport and storage solutions, has adopted SystemVerilog for testbench automation using Synopsys' VCS® comprehensive RTL verification solution. Using the reference methodolog...

The evolution of the probability distributions of Japan and US major market indices, NIKKEI 225 and NASDAQ composite index, and JPY /DEM and DEM/USD currency exchange rates is described by means of the Fokker-Planck equation (FPE). In order to distinguish and quantify the deterministic and random influences on these financial time series we perform a statistical analysis of their increments ∆x(...

The use of intelligent systems for stock market predictions has been widely established. This chapter introduces two Genetic Programming (GP) techniques: Multi-Expression Programming (MEP) and Linear Genetic Programming (LGP) for the prediction of two stock indices. The performance is then compared with an artificial neural network trained using Levenberg-Marquardt algorithm and Takagi-Sugeno n...

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 ensemble of intelligent paradigms. To demonstrate the proposed technique, we considered Nasdaq-100 index of Nasdaq Stock Market and the S&P CNX NIFTY stock index. The intelligent paradigms consi...

This paper develops a simple new methodology to test for asset integration and applies it within and between American stock markets. Our technique is tightly based on a general intertemporal asset-pricing model, and relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained only by the fact that they are ...

This paper examines the intertemporal relation between downside risk and expected stock returns. Value at risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff for several stock market indices. We find a positive and significant relation between downside risk and the portfolio returns on the NYSE...

We examined whether press reports on the collective mood of investors can predict changes in stock prices. We collected data on the use of emotion words in newspaper reports on traders' affect, coded these emotion words according to their location on an affective circumplex in terms of pleasantness and activation level, and created indices of collective mood for each trading day. Then, by using...

In this paper, we re-examine the profitability of technical analysis using the Reality Check of White (2000, Econometrica) that corrects the data snooping bias. Comparing to previous studies, we study a more complete “universe” of trading techniques, including not only simple trading rules but also investor’s strategies, and we test the profitability of these rules and strategies with four main...

In the first few months of the year, the NASDAQ composite equity index surged, and other equity indexes made gains as well. However, as the year progressed a number of factors began to weigh on the equity markets. Short-term interest rates rose in the first half of the year as the Federal Reserve continued a gradual tightening of monetary policy that began in 1999. In addition, the exchange val...