Download or read book Comovement based Trading Strategies in Equity Markets Using Time Series Analysis written by Nilav Bose and published by . This book was released on 2007 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Prediction of International Stock Market Movements Using a Statistical Time Series Analysis Method written by Jehan Shareef and published by . This book was released on 2015-07-24 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Market Prediction Using Time Series Analysis written by Kamalakannan J and published by . This book was released on 2018 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market is a market that enables seamless exchange of buying and selling of company stocks. Every Stock Exchange has their own Stock Index value. Index is the average value that is calculated by combining several stocks. This helps in representing the entire stock market and predicting the market's movement over time. The Equity market can have a profound impact on people and the country's economy as a whole. Therefore, predicting the stock trends in an effective manner can minimize the risk of investing and maximize profit. In our paper, we are using the Time Series Forecasting methodology for predicting and visualizing the predictions. Our focus for prediction will be based on the technical analysis using historic data and ARIMA Model. Autoregressive Integrated Moving Average (ARIMA) model has been used extensively in the field of finance and economics as it is known to be robust, efficient and has a strong potential for short-term share market prediction.

Download or read book Forecasting and Timing Markets a Quantitative Approach written by Henry Liu and published by . This book was released on 2021-04-15 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial markets are essentially time-series data driven events consisting of valleys, peaks, and in-betweens of ups and downs. For more than a century, many pioneers had attempted to come up with various theoretical models to facilitate forecasting and timing market moves. For example, as early as in 1902, or 119 years ago, S. A. Nelson, a friend of Charles H. Dow, attempted to explain Dow's methods in his book titled The A B C of Stock Speculation, which became later known as "the Dow Theory." 20 years later in 1922, William Peter Hamilton carried on and wrote the book The Stock Market Barometer, which explained the Dow Theory in more detail. More recently in the last few decades, the advent of advanced computing technologies helped create numerous technical indicators, such as Relative Strength Index (RSI) by J. Welles Wilder (1978), Moving Average Convergence Divergence (MACD) by Gerald Appel (2005), Stochastic Oscillator (SO) by George Lane (2007), and Bollinger Bands (BB) by John Bollinger (2002), etc. Those powerful theories and indicators have been heavily studied and well-known in the financial circle. However, they are empirical and lack quantitative verifications out of solid backtest results. This book helps fill these vacancies. This text attempts to help explore how one can forecast and time markets more quantitatively. For this purpose, the author developed a model-based system, named AlphaCovaria, to help demonstrate how to use various simplest, readily available technical indicators to forecast and time markets approximately while eliminating subjective speculations at the same time. Centered on various math models, the author's AlphaCovaria system has three main components: an AlphaCurve program for charting, a BTDriver program for running all backtests, and an AlphaCovaria driver for generating buy/sell signals based on symbol profiles learned through backtests. This kind of formula-driven approach is more promising for building more high-performance strategies. The text is made concise and precise of about 100 pages only, as a working method does not need to be wordy. Math models, data and charts can help explain more effectively and convincingly. Also, inspired by those classical models, the author came up with a new indicator named simple cascading indicator (sci), which beat all those classical models in most cases, based on the backtest results with 29 carefully selected symbols and past 15 years' price data. This 2nd edition of the book also shared my live trading experience using real money in my Fidelity and eTrade accounts with my AlphaCovaria system. Such data can be found nowhere else.

Download or read book Financial Market Contagion in the Asian Crisis written by Mr.Taimur Baig and published by International Monetary Fund. This book was released on 1998-11-01 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.

Download or read book Analysis of Exponential Filter Time Series Operators of Geometric Brownian Motion in Trading Strategies written by Douglas Service and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading strategies based on moving average indicators have been analyzed in the academic literature numerous times using historical data to make statistical inferences about various properties such as expected returns. In this work, a deductive model is assumed where asset price dynamics are driven by a stochastic differential equation (SDE) in a continuous-time setting under the assumption of a frictionless market. A number of properties about the structure of the stochastic processes which result from the application of an exponential time series operator to the solution of the asset price SDE and various algebraic combinations of such processes are proven. A trading strategy is proposed and analyzed in which the size and direction of the market position in the risky asset incorporates the difference of two exponential time-series operators applied to the asset price process. The resulting portfolio SDE is proven to shown a positive expected return under specific assumptions.

Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.

Download or read book Analysis and Forecasting of Financial Time Series written by Jaydip Sen and published by Cambridge Scholars Publishing. This book was released on 2022-10-11 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together real-world cases illustrating how to analyse volatile financial time series in order to provide a better understanding of their past behavior and robust forecasting of their future behavioural patterns. Using time series data from diverse financial sectors, it shows how the concepts and techniques of statistical analysis, machine learning, and deep learning are applied to build robust predictive models, as well as the ways in which these models can be used for forecasting the future prices of stocks and constructing profitable portfolios of investments. All the concepts and methods used in the book have been implemented using Python and R languages on TensorFlow and Keras frameworks. The volume will be particularly useful for advanced postgraduate and doctoral students of finance, economics, econometrics, statistics, data science, computer science, and information technology.

Download or read book The Science of Algorithmic Trading and Portfolio Management written by Robert Kissell and published by Academic Press. This book was released on 2013-10-01 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. Helps readers design systems to manage algorithmic risk and dark pool uncertainty. Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.

Download or read book Quantitative Methods for Economics and Finance written by J.E. Trinidad-Segovia and published by MDPI. This book was released on 2021-02-12 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice.

Download or read book Algorithmic Trading and Quantitative Strategies written by Raja Velu and published by CRC Press. This book was released on 2020-08-12 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: Algorithmic Trading and Quantitative Strategies provides an in-depth overview of this growing field with a unique mix of quantitative rigor and practitioner’s hands-on experience. The focus on empirical modeling and practical know-how makes this book a valuable resource for students and professionals. The book starts with the often overlooked context of why and how we trade via a detailed introduction to market structure and quantitative microstructure models. The authors then present the necessary quantitative toolbox including more advanced machine learning models needed to successfully operate in the field. They next discuss the subject of quantitative trading, alpha generation, active portfolio management and more recent topics like news and sentiment analytics. The last main topic of execution algorithms is covered in detail with emphasis on the state of the field and critical topics including the elusive concept of market impact. The book concludes with a discussion on the technology infrastructure necessary to implement algorithmic strategies in large-scale production settings. A git-hub repository includes data-sets and explanatory/exercise Jupyter notebooks. The exercises involve adding the correct code to solve the particular analysis/problem.

Download or read book Market Momentum written by Stephen Satchell and published by John Wiley & Sons. This book was released on 2020-12-02 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.

Download or read book International Conference on Applications and Techniques in Cyber Security and Intelligence written by Jemal Abawajy and published by Springer. This book was released on 2017-10-20 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the outcomes of the 2017 International Conference on Applications and Techniques in Cyber Security and Intelligence, which focused on all aspects of techniques and applications in cyber and electronic security and intelligence research. The conference provides a forum for presenting and discussing innovative ideas, cutting-edge research findings, and novel techniques, methods and applications on all aspects of cyber and electronic security and intelligence.

Download or read book Emerging Markets written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-06-26 with total page 870 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although emerging market economies consist of 50% of the global population, they are relatively unknown. Filling this knowledge gap, Emerging Markets: Performance, Analysis and Innovation compiles the latest research by noteworthy academics and money managers from around the world. With a focus on both traditional emerging markets and new areas, su

Download or read book High Frequency Financial Econometrics written by Yacine Aït-Sahalia and published by Princeton University Press. This book was released on 2014-07-21 with total page 683 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

Download or read book Long Short Market Dynamics written by Clive M. Corcoran and published by John Wiley & Sons. This book was released on 2007-02-06 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds are now the largest volume players in the capital markets. They follow a wide assortment of strategies but their activities have replaced and overshadowed the traditional model of the long only portfolio manager. Many of the traditional technical indicators and commonly accepted trading strategies have become obsolete or ineffective. The focus throughout the book is to describe the principal innovations that have been made within the equity markets over the last several years and that have changed the ground rules for trading activities. By understanding these changes the active trader is far better equipped to profit in today’s more complex and risky markets. Long/Short Market Dynamics includes: A completely new technique, Comparative Quantiles Analysis, for identifying market turning points is introduced. It is based on statistical techniques that can be used to recognize money flow and price/momentum divergences that can provide substantial profit opportunities. Power laws, regime shifts, self-organized criticality, phase transitions, network dynamics, econophysics, algorithmic trading and other ideas from the science of complexity are examined. All are described as concretely as possible and avoiding unnecessary mathematics and formalism. Alpha generation, portfolio construction, hedge ratios, and beta neutral portfolios are illustrated with case studies and worked examples. Episodes of financial contagion are illustrated with a proposed explanation of their origins within underlying market dynamics

Download or read book Handbook of Behavioral Economics Foundations and Applications 1 written by and published by Elsevier. This book was released on 2018-09-27 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Behavioral Economics: Foundations and Applications presents the concepts and tools of behavioral economics. Its authors are all economists who share a belief that the objective of behavioral economics is to enrich, rather than to destroy or replace, standard economics. They provide authoritative perspectives on the value to economic inquiry of insights gained from psychology. Specific chapters in this first volume cover reference-dependent preferences, asset markets, household finance, corporate finance, public economics, industrial organization, and structural behavioural economics. This Handbook provides authoritative summaries by experts in respective subfields regarding where behavioral economics has been; what it has so far accomplished; and its promise for the future. This taking-stock is just what Behavioral Economics needs at this stage of its so-far successful career. Helps academic and non-academic economists understand recent, rapid changes in theoretical and empirical advances within behavioral economics Designed for economists already convinced of the benefits of behavioral economics and mainstream economists who feel threatened by new developments in behavioral economics Written for those who wish to become quickly acquainted with behavioral economics