Authors present the stock price prediction algorithm by using Bayesian network. The present algorithm uses the network twice. First, the network is determined from the daily stock price and then, it is applied for predicting the daily stock price which was already observed. The prediction error is evaluated from the daily stock price and its prediction. Second, the network is determined again f...

We estimate the dynamics of a speculative bubble subject to surviving and collapsing regime together with dividends returns in tractable state space specification present-value model. To this new high-dimensional model, we develop an efficient Markov chain Monte Carlo sampler simulate from joint posterior distribution. find that real-world stock price bubbles show significant Markov-switching s...

This paper employs a general non-linear analysis tool to analyse the nature of time series associated with the price (returns) of a particular company in Tehran Stock Exchange. It is shown that the behavior of the process associated with the price (returns) time-series of this company is weakly chaotic, and due to the non-random behavior of the process, short term prediction of stock price is p...

Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading ...

This is an introduction to the special section on the economic theory of bubbles. © 2014 Elsevier B.V. All rights reserved. Asset markets around the world are very volatile. Two most important asset markets are the stock market and the housing market. Fig. 1 presents the US and the Japanese real stock market indices (S&P 500 and Nikkei 225).1 This figure shows that the US stock market experienc...

The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...

The purpose of this paper is the empirically examination of the effect of the Institutional Quality Components (Voice and Accountability, political stability and Absence of Violence and Terrorism, government effectiveness, regulatory quality, rule of law and control of corruption) on the prediction of total stock price index. The study was carried out using data extracted from 53 countries from...

In this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been Tehran distance. The sample consisted of 76 company The systematic elimination method is selected. The company had a total of 304 years, in this study, the hypothesis of linear regression and correlation to analyse the data and test hypotheses Eviews software i...