We predict stock markets using information contained in articles published on the Web. Mostly textual articles appearing in the leading and the most influential financial newspapers are taken as input. From those articles the daily closing values of major stock market indices in Asia, Europe and America are predicted. Textual statements contain not only the effect (e.g., stocks down) but also t...

The goal of this chapter is to examine whether the time series of returns of securities listed on Taiwan’s stock exchange exhibit significant nonlinear serial dependencies, as do those of other stock exchanges throughout the world, and, if so, to examine the pervasiveness of such dependencies across the individual stocks trading on the Taiwan Stock Exchange. First, an examination of the charact...

We study the problem of portfolio optimization in an incomplete market using derivatives as well as basic assets such as stocks. In such markets, an investor may want to use derivatives, as a proxy for trading volatility, for instance, but they should be traded statically, or relatively infrequently, compared with assumed continuous trading of stocks, because of the much larger transaction cost...

We provide an explanation for the explosive growth in the popularity of Stock Index Futures contracts. In our economy there are three broad classes of traders that place orders with a competitive market maker that sets a bid-ask spread arising from adverse selection. Informed traders trade on the basis of their private information about the value of particular securities. Liquidity traders trad...

Using a large proprietary database of institutional trades for the period 1999-2005, this paper examines the interim (i.e., intra-quarter) trading skills of institutional investors. We find strong evidence that institutional investors earn significant abnormal returns on their intra-quarter round-trip trades. Furthermore, the stocks institutions buy significantly outperform the stocks instituti...

This study is the first to investigate the renowned stock message board effect by controlling for both firm effects and board effects. Presently it is the most comprehensive study on how online stock discussion forums affect stock performance. More specifically, firm effects include firm size, earning growth rate, and media coverage intensity. Board effects include sentiment, number of messages...

This paper studies how the views of sophisticated traders are impounded into stocks and bonds around macroeconomic news announcements. I find evidence that sophisticated traders trade on predictions of macroeconomic news reports before announcements and obtain their informational advantage using public information. Specifically, consensus forecasts of upcoming data releases suffer from anchorin...

The stock selection problem is one of the major issues in the investment industry, which is mainly solved by analyzing financial ratios. However, considering the complexity and imprecise patterns of the stock market, obvious and easy-to-understand investment rules, based on fundamental analysis, are difficult to obtain. Fundamental and technical analyses are two common methods for predicting th...

from long time ago the shortage of finance in business practices was one of the striking problems for traders and thus there have always been endeavors to find a solution to it. one of the ways put forward was using the stocks stored in warehouses as security for loans. taking advantage of a descriptive method, this paper describes field-warehousing as a means of raising cash funds and the regu...

This paper examines the profitability of technical trading rules in the five Southeast Asian stock markets. The data cover a period of 14 years from January 2000 to December 2013. The instruments investigated are five Southeast Asian stock market indices: SET index (Thailand), FTSE Bursa Malaysia KLC index (Malaysia), FTSE Straits Times index (Singapore), JSX Composite index (Indonesia), and PS...