We used the Support Vector Machines in a classification approach to 'beat the market'. Given the fundamental accounting and price information of stocks trading on the Australian Stock Exchange, we attempt to use SVM to identify stocks that are likely to outperform the market by having exceptional returns. The equally weighted portfolio formed by the stocks selected by SVM has a total return of ...

We study the trading of individual investors using transaction data and identifying buyeror seller-initiated trades. We document four results: (1) Small trade order imbalance correlates well with order imbalance based on trades from retail brokers. (2) Individual investors herd. (3) When measured annually, small trade order imbalance forecasts future returns; stocks heavily bought underperform ...

a r t i c l e i n f o We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that, counter-intuitively, liquidity rather than illiquidity, as a stock characteristic ...

Chart patterns and indicators are popular technical tools for making investment decisions. This article presents a trading strategy combining price movement patterns, candlestick chart patterns, and trading indicators, including Moving Average, Exponential Moving Average, Bollinger Bands, On Balance Volume, Relative Strength Index, Moving Average Convergence Divergence, and Stochastic Oscillato...

in this study, a prediction model based on support vector machines (svm) improved by introducing a volume weighted penalty function to the model was introduced to increase the accuracy of forecasting short term trends on the stock market to develop the optimal trading strategy. along with vw-svm classifier, a hybrid feature selection method was used that consisted of f-score as the filter part ...

We show that a mutual fund’s stock selection skill can be decomposed into additional components that include liquidity-absorbing impatient trading and liquidity provision. We find that past performance predicts future performance better among funds trading in stocks affected more by information events: Past winners earn a risk-adjusted after-fee excess return of 35 basis points per month in the...

General equilibrium is investigated with N commodities deliverable at T dates traded spot and futures at 1⁄2 N 2T 3 dated commodity-pairwise trading posts. Trade is a resource-using activity recovering transaction costs through the spread between (bid) wholesale) and ask (retail) prices (pairwise rates of exchange). Budget constraints are enforced at each trading post separately implying demand...

Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading ...

This paper examines the effect of temporarily suspending the trading of exchange-listed individual stocks. We evaluate whether regulatory authorities can successfully use the mechanism of trading suspension in forcing companies to disclose new and material information to the capital market. Previous studies on trading suspensions mainly concentrate on North-American stock markets and find no co...