The bond-stock earnings yield model for stock market crash prediction: the basic idea and early applications
نویسندگان
چکیده
منابع مشابه
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
We provide a historical background on Ziemba’s experiences and research on the bondstock earnings yield differential model (BSEYD), from the time he first used it in Japan in 1988 through to the present in 2014. Over this period, the model has called many crashes, but not all. Those called have had high interest rates in long term bonds relative to the trailing earnings to price ratio. In gener...
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Parameters for Stock Market Prediction
In recent years researchers have developed a lot of interest in stock market prediction because of its dynamic & unpredictable nature. Although there were lots of methods of prediction none of them is prove to produce satisfactory results. Machine learning techniques proved to be better than other methods because of its ability of nonlinear mapping. In this paper we survey different input param...
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ژورنال
عنوان ژورنال: Quantitative Finance Letters
سال: 2016
ISSN: 2164-9502,2164-9510
DOI: 10.1080/21649502.2015.1165893