This paper presents a tuturial introduction to predictions of stock time series. The various approaches of technical and fundamental analysis is presented and the prediction problem is formulated as a special case of inductive learning. The problems with performance evaluation of near-random-walk processes are illustrated with examples together with guidelines for avoiding the risk of data-snoo...

Anomaly is an incident or event that cannot be explained by the dominant theories. Anomalies are situated in confronting with the efficient market theory, so that it provides conditions for stock trading strategies with additional returns in case of existing predetermined returns. Therefore, in this study, the anomaly due to monthly effects on the stock volume trading and the Tehran Stock Excha...

Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market fluctuations ? This paper develops theoretical test conditions addressing this and related reverse engineering issues arising within a fairly general class of long-lived asset pricing models. These conditions solely affect the first primitives of...

A gravity model, frequently used to explain trade patterns, is used to explain stock market correlations. The main result of the trade literature is that geography matters for goods markets. Physical location and trading costs should be less of an issue in asset markets. However we find that geographical variables still matter when examining equity market linkages. In particular, the number of ...

In this paper, we present a model that simulates the behaviour of a heterogenous collection of financial traders on a market. Each trader is modelled as an autonomous, interactive agent and the agregation of their behavior results in market behaviour. 1 We specifically look at the role of information arriving at the market and the influence of heterogeneity on market dynamics. The main conclusi...

This paper examines the Brady bond market of two largest Latin American economies, Mexico and Brazil. Results indicate that stripped yield of each market in the very near future is determined primarily by the past yields in the respective markets. However, over a longer-term horizon the interrelationships between the bond markets and the stock markets of the two countries become important. Futu...

This paper investigates the presence of bull and bear market states in stock price dynamics. A new definition of bull and bear market states based on sequences of stopping times tracing local peaks and troughs in stock prices is proposed. Duration dependence in stock prices is investigated through posterior mode estimates of the hazard function in bull and bear markets. We find that the longer ...

In the absence of market frictions, the cost of carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is violated with clear evidence that the stock index futures market leads the stock market. We argue that tra...

Is the concept of stock market speculations, related with the news in the news papers? This study mainly focus on the correlation between economy news from one of the highest circulation rate news paper in Turkey and Istanbul stock market closing values. Data set is collected from the web page of news paper in natural language and text mining technique, term frequency – inverse document frequen...

This paper investigates the relative pricing performance between constant volatility and stochastic volatility pricing models, based on a comprehensive sample of options on four currencies, including the British pound, Deutsche mark, Japanese yen and Swiss franc, traded frequently in the Philadelphia Stock Exchange (PHLX) from 1994 to 2001. The results show that the model of Heston (1993) outpe...