DRAFT February 12, 5 pm (Choose " print layout view " in Word) The influence of speculative stocks on value stocks is examined through a set of economics experiments. The speculative asset is designed to model a company involved in a rapidly growing market that will be saturated at some unknown point. Using a control experiment where both assets are similar value stocks, we find statistical sup...

Real-world stock markets are volatile and express such traits as overvaluation, psychological moods, cycles and crashes. This paper develops and explores a model which has these properties. The model is aggregated, continuous and non-linear. It is developed in stages. In the initial stage it is applied to the price dynamics of one type of stock only. Later on it is applied to a weighted price i...

Stock market price index prediction is a challenging task for investors and scholars. Artificial neural networks have been widely employed to predict financial stock market levels thanks to their ability to model nonlinear functions. The accuracy of backpropagation neural networks trained with different heuristic and numerical algorithms is measured for comparison purpose. It is found that nume...

This research is intended to know the influence of interest rate, world oil price, and gold price on joint stock index with inflation as a moderating variables in Indonesia. Population this Indonesia 20 them were selected be samples for through purposive sampling technique. Estimates conducted by multiple regression analysis. The data that used study secondary data, consisted Interest Rate, Wor...

The paper investigates the relationship between the stock market and the monetary policy of the Federal Reserve in the last twenty years. To this purpose we construct an Index of Stock Price Misalignment in which the fundamental value of the stocks is computed on the basis of the discounted cash flow approach and we then include this index, among the regressors, into a forward looking Taylor ru...

The statistical analysis of Chinese stock market fluctuations modeled by the interacting particle systems has been done in this paper. The contact model and voter model of the interacting particle systems are presented in this paper, where they are the continuous time Markov processes. One interpretation of contact model is as a model for the spread of an infection. One interpretation of voter ...

Objective: In general, financial time series such as stock indexes have nonlinear, mutable and noisy behavior. Structural and statistical models and machine learning-based models are often unable to accurately predict series with such a behavior. Accordingly, the aim of the present study is to present a new hybrid model using the advantages of the GMDH method and Non-dominated Sorting Genetic A...

This study examined the role of positive and negative discretionary accrual management in the stock price impact. A sample of 66 firms listed in Tehran Stock Exchange was selected for a ten-year period (2008-2017). Accrual management was found to lead to significant changes in stock prices, and uninformed investors incur trading costs caused by the stock price impact. The results showed two key...