Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize ma...

The electronic limit-order trading system have been sweeping the exchanges around the globe since last decade. This paper studies a case of the transition, which is a group of less-liquid stocks moving to SETS on the London Stock Exchange. The evidence reveals that the liquidity of those stocks substantially drops after the move.

This study examines the rounding phenomenon in operating cash flows for firms listed three major U.S. stock exchanges (i.e., New York Stock Exchange, NASDAQ, and American Exchange) Over-the-Counter (OTC) market. It finds that round￾up earnings, but they do not round-up flows; while OTC market both earnings flows. Overall, results from this provide consistent evidence have incentives to round up...

The H genes, encoding an alpha1,2fucosyltransferase, which defines blood groups with the H structure, of four Bombay and 13 para-Bombay Japanese individuals were analyzed for mutations. Four Bombay individuals were homologous for the same null H allele, which is inactivated by a single nonsense mutation at position 695 from G to A (G695A), resulting in termination of H gene translation. The all...

This paper provides empirical study on the behavior of the Shanghai and the Shenzhen stock exchanges after the Chinese government announced to increase the securities transaction tax from 0.3% to 0.5% in May 9, 1997. We examine the impact of the increased transaction tax on the volatility of stock returns and tax revenue. We find that the return volatility significantly increased. We also find ...

The role of the central counterparties (CCP) in the financial sector is very important, since they bear the counterparty risk during the trading on stock exchanges. Because of the notable risk central counterparties have to face, the attention of the regulators has turned towards them lately, by defining several processes how the CCPs should measure and manage their risk. The definition of stre...

The analysis of time-series data is important in many areas. Various tools are used for financial time-series data and there is no consensus for the best models. Rough sets is a new mathematical theory for dealing with vagueness and uncertainty. We apply rough set theory in the analysis of New Zealand stock exchanges. A general model for timeseries data analysis is presented. The experimental r...

This study examines the random walk hypothesis for the Shanghai and Shenzhen stock markets for both A and B shares, using daily data over the period 1992–2007. The hypothesis is tested with new multiple variance ratio tests – Whang-Kim subsampling and Kim’s wild bootstrap tests – as well as the conventional multiple Chow-Denning test. We find that Class B shares for Chinese stock exchanges do n...