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...

Sentiment analysis of news headlines is an important factor that investors consider when making investing decisions. We claim the sentiment financial impacts stock market values. Hence headline data are collected along with investment for a period time. Using Valence Aware Dictionary and Reasoning (VADER) analysis, correlation between values sentiments in established. In our experiments, on pri...

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...

Genetic network programming (GNP) as an evolutionary computation method has been used for stock trading recently. Former researches confirm the efficiency of trading rules which are created by GNP. In this paper, GNP has been applied for stock portfolio optimization by generating risk-adjusted trading rules. There are two main novelties in this paper: 1) we use conditional Sharp ratio as a risk...

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...

In constructing a diversified portfolio of equity managers (stock-pickers), the approach generally used is to bucket managers into “style boxes” based on market capitalizations (Large Cap, Mid Cap, Small Cap) and the fundamental characteristics (Value, Growth, Core) of the investible universe of stocks, then choose one or more managers from each style box to achieve diversification. In the case...

Electronic trading venues are autonomous and equal in their basic functionality providing a platform for trading of stocks, where prices are generated and transactions are performed. They can be seen as peers. Electronic trading venues in the United States are linked together through the central National Market System (NMS) and a set of rules enabling communication on this network, the Regulati...

We investigate the collective behaviors of short-selling and margin-trading between Chinese stocks and their impacts on the co-movements of stock returns by cross-correlation and partial correlation analyses.We find that the collective behaviors ofmargin-trading are largely attributed to the index cohesive force, while those of short-selling are mainly due to some direct interactions between st...

We study the structural variation of networks formed by connecting Standard & Poor’s 500 (S&P500) stocks that were traded from January 1, 2000 to December 31, 2004. The construction of the network is based on cross correlation between the time series of the closing prices (or price returns) over a fixed trading period and takes a simple winner-take-all approach for establishing connections betw...

We establish two previously undocumented patterns in the purchase selections of individual investors and confirm a related pattern. These patterns hinge on investors’ previous experience with a stock. We demonstrate that investors prefer to (1) repurchase stocks that they previously sold for a gain, (2) repurchase stocks that have lost value subsequent to a prior sale, and (3) purchase addition...