Abstract We test the power-law hypothesis in the KOSPI 200 futures market for limit order placements using the method proposed by Clauset, Shalizi and Newman (2009[3]). With the order data submitted in the market between March 17, 2003 and March 11, 2004, we find that limit order placements rarely pass the power-law hypothesis. This contrasts to the most of empirical results reported in other m...

Co-integration models the long-term, equilibrium relationship of two or more related financial variables. Even if cointegration is found, in the short run, there may be deviations from the long run equilibrium relationship. The aim of this work is to forecast these deviations using neural networks and create a trading strategy based on them. A case study is used: co-integration residuals from A...

Co-integration models the long-term, equilibrium relationship of two or more related financial variables. Even if cointegration is found, in the short run, there may be deviations from the long run equilibrium relationship. The aim of this work is to forecast these deviations using neural networks and create a trading strategy based on them. A case study is used: co-integration residuals from A...

This article proposes the use of recurrent neural networks in order to forecast foreign exchange rates. Artificial neural networks have proven to be efficient and profitable in forecasting financial time series. In particular, recurrent networks, in which activity patterns pass through the network more than once before they generate an output pattern, can learn extremely complex temporal sequen...