Identification of useful patterns in price movement of a stock in stock market needs tremendous analytical skills and effort. Careful analysis of the available technical indicators will help finding the right timing of trading of a stock to maximize the gains. To help investors manage their portfolios, we propose a tool for clustering and classification of stock market data using an unsupervise...

Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying how news of all possible types (geopolitical, environmental, social, financial, economic, etc.) affects trading and the pricing of firms in organized stock ma...

The dissertation presents Hybrid Intelligent Decision Support Systems (DSS) for the selection of alternatives (companies, stocks, and company groups) in stock trading under uncertainty. This study proposes a framework including three models using Hybrid Intelligent DSS. The framework aims to optimize trading decisions in the selection of appropriate alternatives and reduce risky decisions. This...

The relationship between a market index and its constituent stocks is complicated. While an index is a weighted average of its constituent stocks, when the investigated time scale is one day or longer the index has been found to have a stronger effect on the stocks than vice versa. We explore how this interaction changes in short time scales using high frequency data. Using a correlation-based ...

We study the impact of foreign institutional investor (FII) flows on stock returns in India. We exploit stock-level daily trading data for FII purchases and FII sales during 2006-2011 to separate stocks into those experiencing abnormally high and low FII flow innovations. We find that stocks with high innovations are associated with a coincident price increase that is permanent, whereas stocks ...

We investigate non-linearities in the stock return trading volume relationship by using daily data for 16 European countries in an asymmetric vector autoregressive model. In this framework, we test for asymmetries and analyze the dynamic relationship using a simulation based procedure for computing asymmetric impulse response functions. We find that stock returns have a significant influence on...

This paper investigates the relation between liquidity and information based trading and the possible impact of market microstructure changes on this relationship. A model similar in spirit to that of wEasley et al. (1996b) J. Financ. 51(3) (1996) 811–833x is used to determine how often new information occurs and how it influences the composition of orders submitted to the market. There have be...

In the Black-Scholes model optimal trading for maximizing expected power utility under proportional transaction costs can be described by three intervals B, NT , S: If the proportion of wealth invested in the stocks lies in B, NT , S, then buying, not trading and selling, respectively, are optimal. For a finite time horizon, the boundaries of these trading regions depend on time and on the term...

This paper devotes a first and direct attention on the feedback trading behaviors of one of the largest investor populations in the world. Using a unique data set of historical stock transaction, we examine cross-sectional and time-varying buy-sell activities of Chinese investor as a function of a series of stock returns in past. The time-horizons over which investors trade in response to retur...