DecisionSciRN: Stock Market Decision-Making (Sub-Topic)最新文献

Stock Returns, Market Trends, and Information Theory: A Statistical Equilibrium Approach 股票收益、市场趋势和信息论:统计均衡方法

DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2021-10-05 DOI: 10.2139/ssrn.3936846

Emanuele Citera

引用次数: 0

A Long and a Short Leg Make For a Wobbly Equilibrium 一条长腿和一条短腿造成不稳定的平衡

DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2021-05-24 DOI: 10.2139/ssrn.3945948

Nicolae Gârleanu, Stavros Panageas, Geoffery Zheng

引用次数: 3

Cross-sectional Return Predictability in Indian Stock Market: An Empirical Investigation 印度股票市场横截面收益可预测性的实证研究

DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2021-05-03 DOI: 10.2139/ssrn.3838938

G. Goswami

引用次数: 0

Turn-of-the-Year Effect in Asia Pacific Stock Markets: New Evidence 亚太股市的岁末效应:新证据

DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2021-02-01 DOI: 10.2139/ssrn.3799914

Nhan H. Huynh

{"title":"Turn-of-the-Year Effect in Asia Pacific Stock Markets: New Evidence","authors":"Nhan H. Huynh","doi":"10.2139/ssrn.3799914","DOIUrl":"https://doi.org/10.2139/ssrn.3799914","url":null,"abstract":"This paper examines a well-known seasonal anomaly - the turn-of-the-year (TOY) effect in fifteen Asia Pacific stock indices by using an updated dataset and forward-looking methods. The analysis utilizes daily dataset that spans from January 2000 to December 2018. Applying the Ordinary Least Square (OLS) regression and EGARCH approach, the results of this paper suggest that the TOY effect becomes detectable again after the GFC in developed stock markets with tax year not ending in December. Oppositely, the magnitude of this anomaly has diminished in the emerging financial markets after the GFC, which is consistent with the EMH. The evidence of the leverage effect in the unconditional volatility is proposed that volatility in negative shocks is considerably higher than that of positive shocks across examined stock indices. This phenomenon is more conspicuous in mature stock indices compared to emerging indices. The positive connection between the leverage effect and stock market volatility is propositioned as diminishing magnitude of this effect during the stable market condition after the GFC. Our findings lend reinforcement to the conclusion that some Asia Pacific stock markets satisfy the weak form of the EMH.","PeriodicalId":198417,"journal":{"name":"DecisionSciRN: Stock Market Decision-Making (Sub-Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115296265","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection 课程中的马匹:资产配置的均值-方差和选股的1/N

DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2021-01-01 DOI: 10.2139/ssrn.3372334

Emmanouil Platanakis, C. Sutcliffe, Xiaoxia Ye

{"title":"Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection","authors":"Emmanouil Platanakis, C. Sutcliffe, Xiaoxia Ye","doi":"10.2139/ssrn.3372334","DOIUrl":"https://doi.org/10.2139/ssrn.3372334","url":null,"abstract":"For various organizational reasons, large investors typically split their portfolio decision into two stages - asset allocation and stock selection. We hypothesise that mean-variance models are superior to equal weighting for asset allocation, while the reverse applies for stock selection, as estimation errors are less of a problem for mean-variance models when used for asset allocation than for stock selection. We confirm this hypothesis for US data using Bayes-Stein with no short sales and variance based constraints. Robustness checks with four other types of mean-variance model (Black-Litterman with three different reference portfolios, minimum variance, Bayes diffuse prior and Markowitz), and a wide range of parameter settings support our conclusions. We also replicate our core results using Japanese data, with additional replications using the Fama-French 5, 10, 12 and 17 industry portfolios and equities from seven countries. In contrast to previous results, but consistent with our empirical results, we show analytically that the superiority of mean-variance over 1/N is increased when the assets have a lower cross-sectional idiosyncratic volatility, which we also confirm in a simulation analysis calibrated to US data.","PeriodicalId":198417,"journal":{"name":"DecisionSciRN: Stock Market Decision-Making (Sub-Topic)","volume":"8 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115013964","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 27

Real-Time Stock Trend Prediction via Sentiment Analysis of News Article 基于新闻文章情绪分析的实时股票走势预测

DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2020-12-21 DOI: 10.2139/ssrn.3753015

Sanmoy Paul, S. Vishnoi

{"title":"Real-Time Stock Trend Prediction via Sentiment Analysis of News Article","authors":"Sanmoy Paul, S. Vishnoi","doi":"10.2139/ssrn.3753015","DOIUrl":"https://doi.org/10.2139/ssrn.3753015","url":null,"abstract":"The stock market is volatile and volatility occurs in clusters, price fluctuations based on sentiment and news reports are common. A trader uses a wide variety of publicly available information to forecast the marketing decision. This paper proposes an advice to traders for stock trading using sentimental analysis of publically available news reports. It is based on a hypothesis, that news articles have an impact on the stock market, with this hypothesis we study the relationship between news and stock trend and also proved that negative news has a persistent effect on the stock market. In order to prove this assumption semi-supervised learning technique is being used to build the final model of news classification. This research shows that SVM with TF-IDF as feature performs well in further analysis. The accuracy of the prediction model is more than 90% having 52% correlation with the return label of a stock. This paper also proposes a real-time system which fetches news of any company on a real-time basis and displays its top five news and also predicts the adjusted close price of the next seven days. Keywords: Text Mining, Human Sentiments, KNN, Random Forest, Multinomial Naive Bayes, linear SVM, News.","PeriodicalId":198417,"journal":{"name":"DecisionSciRN: Stock Market Decision-Making (Sub-Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131082635","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Reflexivity and the Market Mind Hypothesis: Why George Soros is Not a Failed Philosopher (and What it Means for Economics, the Economy, and Investing) 反身性和市场思维假说:为什么乔治·索罗斯不是一个失败的哲学家(以及这对经济学、经济和投资意味着什么)

DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2020-12-16 DOI: 10.2139/ssrn.3939493

Patrick Schotanus, Ron Chrisley, A. Clark, D. Pritchard, Aaron Schurger

{"title":"Reflexivity and the Market Mind Hypothesis: Why George Soros is Not a Failed Philosopher (and What it Means for Economics, the Economy, and Investing)","authors":"Patrick Schotanus, Ron Chrisley, A. Clark, D. Pritchard, Aaron Schurger","doi":"10.2139/ssrn.3939493","DOIUrl":"https://doi.org/10.2139/ssrn.3939493","url":null,"abstract":"George Soros is one of the best traders of all time. That is the general consensus. While Soros gladly accepts that compliment he frequently also expressed his frustration that he failed as a philosopher. Specifically, he admits that he was unable to formulate his philosophy of reflexivity from its original abstractions. More importantly, reflexivity—which informed his successful trading—did not get the academic recognition that Soros’s track record suggests it deserves. This paper will discuss the reasons for this, the key one being that reflexivity points to the elephant in economics’s room. This will be highlighted by explaining reflexivity, from its original abstractions, in novel terms provided by cognitive science. In particular, via philosophy of mind this paper will argue why Soros is not a failed philosopher. This leads to the submission that reflexivity deserves proper recognition as an early contribution to the emerging field of cognitive economics, for which the Market Mind Hypothesis is a standard bearer. Moreover, the issues discussed are relevant in the wider context of our economic predicament.","PeriodicalId":198417,"journal":{"name":"DecisionSciRN: Stock Market Decision-Making (Sub-Topic)","volume":"2004 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127331375","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Option Momentum 选择动力

DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2020-10-05 DOI: 10.2139/ssrn.3705573

S. Heston, Shuaiqi Li

引用次数: 0

Reddit Sentiment Analysis Reddit情绪分析

DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2020-08-15 DOI: 10.2139/ssrn.3887779

Sebastian Lindskog, J. A. Serur

引用次数: 2

Analytic Value Function for Pairs Trading Strategy With a Levy-Driven Ornstein-Uhlenbeck Process levy驱动的Ornstein-Uhlenbeck过程对交易策略的分析价值函数

DecisionSciRN: Stock Market Decision-Making (Sub-Topic) Pub Date : 2020-03-12 DOI: 10.2139/ssrn.3553064

Lan Wu, Xin Zang, Hongxin Zhao

引用次数: 0