Background: The stock exchange, as a regulated financial market, in modern economies reflects their economic development level. The stock market indicates the mood of investors in the development of a country and is an important ingredient for growth. Objectives: This paper aims to introduce an additional statistical tool used to support the decision-making process in stock trading, and it inve...

There has been an increasing attention on the influences online financial information has on the financial markets. In the meanwhile, the volatility of trading volumes, just as the volatility of stock returns, has an inseparable association with financial risks. It has been considered that there might exist some direct or indirect correlations between online financial information volumes and fi...

With the popularity of the network, the influence of web search activity on capital market has become a central issue in finance. Although a growing body of literature finds that the online search volume helps to explain stock trading activities, few studies take the impacts of market states into account. To fill up the gap, this study explores the influence of market states on the relationship...

Article history: Received 11 October 2012 Received in revised form 3 November 2014 Accepted 3 November 2014 Available online 11 November 2014 In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant response of stock returns and volatility to monetary policy shocks. While t...

Accurate stock trend prediction is a difficult job because various intricate and complex factors affect changes in price, trading volume and trends of a stock market. On a macro scale, the factors could be the overall global economic environment, industry trends, individual economic environment (business operation and competitors’ development), the amount of floating capital in the market, etc....

This paper presents a stock trading method by combining the filter rule and the decision tree technique. The filter rule, having been widely used by investors, is used to generate candidate trading points. These points are subsequently clustered and screened by the application of a decision tree algorithm C4.5. Compared to previous literature that applied such a combination technique, this rese...

This study proposes the dispersion in daily net initiated order flow across brokers as a proxy for the level of noise trading in a stock, and applies this proxy to test some basic implications of market microstructure theory. We use data from the Australian Stock Exchange, a computerized limit order market where price, quantity, and broker identity for each incoming order are shown on broker sc...

In the paper, we study the investment on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), which is assumed to be tradable. We apply the gene expression programming (GEP) to mining profitable trading strategies in the training phase. GEP is a good tool for evolving formulas since the logical view of its chromosome is a tree structure and the physical implementation is a linear ...

Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize ma...